Some vague ideas:
- I assume that you have already tried rebooting the PC (not just log off)?
- Did you check in the properties of the files whether they are not set to read only?
- Is the user you are currently using to try deleting the files the same you were logged on with when you created them? There might be a priviledge issue,
- One last possibility might be some sort of virus activity, but I never heard of a virus that prevents the deletion of files, usually they sort of promote that... :-)