My friend gave me a USB key that has Windows Viruses on it.
On my mac, when I try to delete them it fails and tells me that those files are "locked". I ran an anti-virus, which also was unable to delete them for the same reason.
There are two options for files that came from a Windows drive:
Mac has other steps if you can't unlock the file - see this article - TS1402 for details on immutable flags and if the directory permissions won't let you modify a file. The two above steps handle the vast majority of locked files on the mac.