I read it all and I was surprised not to see the obvious...
It is possible that access is denied!!
Log off, log onto "Administrator" If it doesn't have that option on Win XP, press Ctrl,Alt,Del. You can type in a user name and password there.
If you have not set a password for administrator, it doesn't matter, the account still exists. I recommend you set the password for that by opening Start>Run>"cmd", typing "net user administrator [password]" and hitting enter.
You may or may not need to be on the administrator account to do that.
Anyway, once on the administrator account, try to delete the files normally.