Welcome to Android Central! What kind of file is it, mp3? Remember that the system's Media Scanner will look through all directories and add any photo or video to the Gallery database, as long as there isn't a file named ".nomedia" in that directory. So some app is creating that video file (if that's truly what it is) in some subdirectory called "data." Use a file manager app (or connect via USB to your computer and use Windows Explorer), and look through your various directories and subdirectories for a "data" directory. See if you can find that file.
It's normally going to be in /data/data/some app name/data, and unless the phone is rooted, there's nothing showing in /data, so you're going to have to figure out what the app was that created it by playing it, then seeing if the app will let you delete videos it saved. (The app and root have access to the app's folders, you don't.)