I've had this a lot, particularly with avi files.
I don't yet know a way to stop XP leaving these files in use, but I do know a work around which will let you delete them.
Use Notepad, or some other program, to save a file as the file name you can't delete. (Overwrite the problem file with another file.)
Once you have done this, you can delete it. This method doesn't make sense, but it works.
OU, February 2004