if you downloaded them from a fileshare site i.e limewire and your still connected then other people may be uploading them, try disconnecting from the internet before you try to delete them.
If they've just been downloaded, and you've removed them from whatever program was using them, etc., then they may still not delete because windows still has them set as being in use. A restart should cure this, or just leaving sufficient time for windows to notice!
I've had this with limewire. I found the only way I could get rid was to move the file somewhere else first. I remember once I had to move it to a floppy, and chuck that away.
hurrray!!! deleated that bl''dy file, its always easy when you know how, removed the item from limewires saved files, and hey presto!! its gone, vamoshed, disapeared, dead, deceased, resting, persian-blue.....