Are you using Windows XP & is your filesystem NTFS? If so, this is a common problem. There are a couple of solusions.
1) Reboot & then delete the files.
2) Open a Command Prompt (Start Button, RUN then type CMD). Use DOS commands to move to the directory & delete them that way. (works about 85% of the time)
3)This is the most reliable & unobtrusive way. Go to
http://ccollomb.free.fr/unlocker/ and download the File Unlocker Shell Extension (version 1.8.3 at the time of this writting). Install the app (when installing, it use the default location, when the "Choose Components"screen is displayed UNCHECK the "Assistant" box & CHECK the "SendTo Shortcut" box. I have found that the Assistant can cause some stability issues on certain systems). Now, find the files that are LOCKED, right -click on them and select UNLOCKER. A window will pop up showing every process that has the file locked. Usually it is explore.exe. Click the button "UNLOCK ALL". You should now be able to delete the file(s).
Hope this helps.