You currently have file <File> checked out. Delete anyway?

This warning has the following solution:

When you have a file checked out, there are some things you shouldn't do.  For instance, you should not delete or rename a file that is checked out.

• Click Yes to delete the file anyway.  (Yes All deletes all checked out files even if they are already checked out by another user.).
  
  
• Click No to cancel the Delete command.  (No All cancels the command for all selected files.)
  
  
• Click Cancel to abort the delete operation.

  If you want delete the file, it is a better practice to either check in your changes or to do an undo checkout on the file first.