diff --git a/setup.py b/setup.py
index e42810d..d35513f 100644
--- a/setup.py
+++ b/setup.py
@@ -41,13 +41,19 @@ def has_flag(compiler, flagname):
     """Return a boolean indicating whether a flag name is supported on
     the specified compiler.
     """
-    import tempfile
-    with tempfile.NamedTemporaryFile('w', suffix='.cpp') as f:
+    import tempfile, os
+    with tempfile.NamedTemporaryFile('w', suffix='.cpp', delete=False) as f:
         f.write('int main (int argc, char **argv) { return 0; }')
+        fname = f.name
+    try:
+        compiler.compile([fname], extra_postargs=[flagname])
+    except setuptools.distutils.errors.CompileError:
+        return False
+    finally:
         try:
-            compiler.compile([f.name], extra_postargs=[flagname])
-        except setuptools.distutils.errors.CompileError:
-            return False
+            os.remove(fname)
+        except OSError:
+            pass
     return True