Are the files marked as 'read only' or 'system'?
To check, right click on each of them & choose the 'properties' option in the pop up menu.
Make sure the 'read only' & 'hidden' attributes are
not ticked.
Now try deleting them.
If that fails you could try booting into DOS & deleting them that way.
NOTE: Boot directly into DOS, avoiding Windows, not just open a DOS window.
The following is just in case you don't already happen to know how to suck eggs... 
The command to check the attributes of a particular file, at the DOS prompt type:
attrib <
filename>
If the directory containing the file isn't in the DOS environment path you'll have to change to the directory 1st:
cd \<
directory>\<
subdirectory>
eg: cd \windows\cookies
To remove a read-only attribute:
attrib -r <
filename>
To remove a system attribute:
attrib -s <
filename>
To delete the file after all the above bumph:
del <
filename>
Hope this helps