System files are the files that Windows uses to run. You *shouldn't* be able to delete the important ones easily (But I wouldn't try it).
You could have unknowingly downloaded somthing that re-installs itself on your computer, in which case you'll want to run Spybot as suggested above, and Ad-Aware from click here. The programs act like a virus scan, but scan for junk programs which can be used to track you, or watch what you're doing etc.
The other alternative is that a program such as Office (~wrl maybe?) or Windows has put the files there. If you can't set it to hide in the properties dialog, then try moving it to another folder. Open Word or whatever you've been using recently and the recent documents and see if one causes it to reappear.
It depends how security conscious/paranoid you are. I (through paranoia) have Ad-aware and spyware guard. I also download loads of freeware progs or files I find through goole etc. from the internet. It's just extra security as some advertisers wiol track you or may target pop-ups at you. If you don't use the net much you have less to worry about.