FAT32 does not have any permissions so that is why the security tab is not shown.
The most likely answer for access denied is that the file is in use. Try disabling autorun on your PC and then deleting the file.
Alternatively it could be being protected by malware. It is worth running an antivirus scan to rule that out if you don't already regularly run one.
Least likely but also possible is that the file is being protected at a hardware level, this can happen due to corruption or where a manufacturer has some default files that they don't want you to change.