Blacksheep
Sounds quite credible because I'd not run into that sort of glitch before - and neither had I heard about it on any of the computer forums I regularly visit.
Whether it's commercial data-gathering spyware or something more sinister is a real poser - but then again I'd guess both the NSA and FBI/CIA have had a kick up the butt post 911. It's also a fact that the post-911 enabling legislation thaty went through Congress a few months back means that it's now no holds barred for snoopers.
I'll be keeping an eye out for reports of other non-deletable files hiding away where you're least likely to go look for them or intentionally delete their folder; i.e. in internet caches.