As far as a locked folder or file goes, there's an unlocker utility you can get; Incomplete Download File won't delete at all (click on link) However, that's probably not the best way to approach it until you find the cause of the problem.

The mysteriously appearing folder is a concern!

As far as possible virus, etc. Go to Norbie's site & follow his instructions as he will be able to check whether you have a problem for sure & fix it. And you certainly have some type of problem. Sometimes AV programs don't detect everything.