Try rebooting in "safe mode with command prompt" then try deleting the file from the desktop, if that doesn't work do the following while still in safe mode:
Start-Run-
Type:
cmd
You should be in the command prompt. Then type:
cd\
At the c:\ prompt cd to the dir that the files are in, type the following:
attrib -r -a -s -h *.*
then try deleting all the files in that dir by typing
del /f *.*
The files should delete. You should do the same thing if there are any subdirectories, since xp doesn't have the deltree command.