You might well wonder about files that appear seemingly without reason, especially when they're directly related to executable programs on your disk. Such files could be part of some scheme to run malicious code instead of those trusted programs, but don't worry, they're not. The Prefetch folder is used by Windows XP to speed the boot process. Windows XP records information about each program that launches at boot and uses that information to boot faster the next time. Because multiple files might have the same name, it appends a "hash" of the file's location. That's the odd string of numbers and letters between the filename and the .pf extension.
This folder may accumulate useless junk, especially if you change your configuration a lot. There's no harm in emptying it. Simply delete all the files in that folder; Windows will rebuild it as needed.