CCleaner can't delete in-use files, unless it's something like IE's index.dat files. It would be a waste of time deleting that file anyways, since it would return on reboot. If CCleaner is giving any error about the file you can exclude it.
You're not seeing the Local Settings folder because it's hidden, to get into it do this:
Click Start, Run.
Copy and paste this in exactly as shown, including the quotes:
“%userprofile%\local settings”
Click OK and Windows Explorer will open the hidden folder revealing it's contents.