Arbitrary FIR digital filters with prescribed group delays are desirable in certain applications. It is in general not possible to design an FIR filter to meet the prescribed group delays exactly and the main objective is to minimize the group delay errors. This paper generalizes a method recently proposed by the authors in (Lin and Liu, 2006) for the design of band-selective FIR filters to the design of arbitrary FIR filters with prescribed group delays. Instead of adopting several approximations, the new method proposed in this paper uses an iterative method for updating the filter coefficients through a sequence of linear updates with each update carried out by taking both magnitude and group delay errors into account. The effectiveness and advantages of the proposed method are illustrated by a design example