I use XP and the only way I was able to get the files that wouldn't delete off was:
1. Move everything else (other than sub-directories) out of that folder.
2. Reboot in safe mode WITH COMMAND PROMPT.
3. Get to that directory using command line and then type "delete *.*" and hit enter.
4. Confirm the deletion by pressing "Y" and the files will be deleted.
5. Type EXIT to go back to windows.
6. If computer doesn't shut down or restart turn off with power button.

Jason