Un archivo con dos puntos : que no se puede borrar

“My Computer” -> “Right Click on the this drive” > properties

Then, go to “Tools” tab and click “Check now” under ‘Error checking’ label.

This will unmount your drive and will scan the complete drive for
errors, eventually it will delete such files with illegal names.
On finishing it will show a messages saying some files were fixed.

I successfully deleted such files from my external hard disk.