The unmoveable files are what your computer uses as virtual memory.
If your memory is system managed, it will eventually become fragmented, causing your system to slow to some degree. And since windows defrag doesn't address this fragmentation this could be a problem, depending on what kind of use your computer gets. You could look for a better defrag utility but a more effective tweak would be: create a single unchangeable swap file on its own partition.
To do this you have to first create a new partition about twice the size of your installed memory. Less if you have lots of memory, more if you have little. Then go to system properties>advanced>performance>advanced>virtual memory. Set all partitions to have no paging file except for the new partition you have just created where you will set a custom size with initial and maximum values just smaller than the size of your new partition (overhead). Just reboot and you should be good.
If you are one of those who believe in one gigantic partition go here. http://windowsdevcenter.com/pub/a/windows/2004/11/23/defrag_pagefile.html
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My pc shut down the other day because it detected a threat. I had just defraged my pc the day before and had 26% free space. I checked after the threat and it said I had 24% free space. 2% of unmoveable files had been added to my pc. What does this mean?