Can you manually delete the file from a finder window on the Mac, or is it just your software that is not doing it automatically for you? If you can do it manually, you probably have no OS related issues and it's just the behavior of your software. I've seen plenty of examples of unintended differences in prepress software between Mac and Windows versions.
If you can delete the file manually from the Mac, the rest of this will probably do you no good unless your software is connecting through the network with unusual credentials.
It sounds like you're connecting properly. Just in case (assuming OS X), to mount the volume, press command-K with finder active, then type cifs://n.n.n.n (n.n.n.n = IP address), and choose the shared folder name. I think "smb://..." does the same thing. Make sure that you check the security tab as well as the sharing tab for the share's properties on its host computer. If the security tab is not visible, I think you have to turn off something like "simple file sharing" somewhere in Tools > Folder Options > View from a windows explorer folder window.
The sharing securities are the first line of defense, and the easiest to configure. It's the security stuff that can be a hassle sometimes. I usually add in the users "Anonymous Logon" and "System" and give those explicit permissions because they don't always seem to be included in the group "Everyone" for some reason. Occasionally some changes have to be made to the registry for software that connects with no user credentials at all.
Alternatively, you can try to connect with AFP if your Windows version has something like "File Services for Macintosh." I think it's a system service that has to be turned on. To set up a folder to share out to Macs with AFP, right click on the "My Computer" icon, choose manage, then find "shares." In there I think you can right-click and create a new share for Macs. I'd be more specific, but I'm not near a Windows server right now.
AFP connections can't read or write filenames longer than 31 characters, and any files with resource forks (like most Mac Postscript fonts) can only be retrieved with AFP once they are stored that way.