Just because there aren't any applications using the file doesn't mean that there aren't underlying services or other processes that start up and would have a use on those files preventing you from deleting them. Make sure you aren't running the file sharing program which may be hidden from your initial view.
If you get an access is denied and think it is a permissions issue then Google, "XP Take Ownership" assuming you are an administrator on your home computer rather than an account with limited privileges.
On my desktop there are files and folders that I can't seem to do anything with.(I want to delete them) Most of these files were dragged and dropped on the desktop from a file sharing program (emule or limewire). I am not connected to any server, this is my home computer. when I try to open the files(folders, avi's mpeg's, mp3's I get the following message "access is denied, or file is in use". When I open the Windows task manager no programs are running. When I try the video files, and then hit more information, I get the following message C00D11D2: Cannot access the file... I've tried everything i can think of, I just cannot get rid of or restore them... Thanks in advance, I will be checking this....