use the task manager to see what is running that may be using the files, it might be fastfind or indexing if you are on xp (both can be turned off),
fast find (win 98) can be removed by deleting it from the startup folder, indexing (winxp) is turned off in the hard drive properties (right click the hard drive, choose properties and untick the indexing box at the bottom of the general tab)
other than that, is your virus checker at fault, disconnect from the internet and shutdown your anti virus, then try deleting the files again.
NEVER turn off anti-virus without disconnecting the modem first, it was reported in a pc mag this week that it takes only FOUR minutes for a virus to infect an unguarded pc. scary.....
is it possible that the files are infected with a virus, or are you sure you are clean, you could do an online check here