Can't remove Kali Linux ISO

Since Windows Defender has detected the installer within the ISO container file as multiple threats, it's likely that the file has been automatically locked be Defender, making manual actions like deletion impossible for the operating system to perform.

Since those detections are for a file contained in the ISO, it's really impossible for them to cause damage or be active, so the best idea would be to select and Action to either ignore or allow for each of them.

Once you've done this, you may need to restart the operating system in order to release the file completely from Defender's lock and clear the failed deletion attempt, but then it should be possible to delete the ISO container file.

The reason these individual detections can't delete the installer is because it's within the larger container file, which since it's a compressed file doesn't allow the operating system to process the deletion of the individual files it contains.

That's a common confusion relating to compressed files, which Defender can look within using the same code segments used to extract individual files, but is still unable to remove them.  Thus, you must manually delete the entre container file yourself to remove the detected item(s).

Rob