select the files to delete, and before the confirmation kill off explorer.exe and then delete them, or open up a command window, kill off explorer.exe and then delete them within the command window. Some stuff attaches itself to explorer.exe so they can't be terminated with explorer running, no program can terminate them either since they dont have access to explorer.exe
killing off explorer will kill off the gui / desktop etc, so that why you do it via a command window.
then using ctrl-alt-del, open up task manager again and run explorer.exe in the run box.
hope this help.