Sounds like you may be trying to delete something that is no longer there.
Sometimes when you delete from an open explorer window and the "picture"
doesn't refresh itself properly, it looks like the file is still there when
it isn't. In this case, if you close the window and reopen it you may find
the files gone.
You may be doing something odd like trying to delete from a protected
recycle bin.
The file may be protected. Look at the properties by right clicking on the
file icon in explorer. Empty the checkboxes.
You may not be able to delete because the file is open. Look for it in your
taskbar, in the open window toolbar (e.g. Word keeps track of open files
under Window).
Sometimes you can spot one hiding in Ctrl/Alt/Delete (taskmanager--winxp:
processes).
