C:\Documents and Settings\Mikko\Application Data\BSplayer Pro\ isn't a file but a folder, which may contain more files, e.g.:
bsp.dat - BSplayer.xml - bsplist.bsl - bspml.xml - EQ.xml
and yes I would suggest to delete these (or simply rename the folder, which I always do, having several versions of BSPlayer on my PC and wanting to be able to switch between them) and then do a fresh install (as earlier suggested).