Some of the files I download I don't want and delete them. Some of them I cannot delete or windows says they are in use even if i just booted up the comp and tried deleting it first thing before running any program. Other files for example like a 700mb .avi file that LW says is 36% done shows up in windows explorer as 700mbs. These files I can open and play and they don't seem to have any problem except they seem to have a will to survive and not want to be deleted. It also wants to eat up my available ram as well and in task manager explorer.exe is using about 100mb of memory. Anther strange bit is if I try to move a file to another folder, windows says it's in use but I can copy an paste it to another folder and then delete it with no problem. Just can't move it.
I've checked for viruses, spyware, ad aware, ran CHKDSK to no avail. I eventually was able to delete it from LW's incomplete files from the library but for future reference and i keep getting these errors every so often so I'd like to know how to delete them. I've ran into this problem before and not just with LW either.

windows xp home sp2
LWP 4.8.1
3.0Ghz P4
480mb ram
80GB hard drive