1. By locked was there a padlock icon on the folder? That is normal. Or when you tried to access the folder did it say access denied?
2. When you deleted the file off of the e drive, was that over the network(through the shared access)? It's common practice when deleting something over the network that it isn't sent to any trash can, but immediately deleted. If it's a local file, if you were holding down shift and pressed delete the same permanent delete request will occur.
3. Which folders can't you access in docs and settings? This must be your XP installation you are accessing, This is acting correctly if it is, but you should be able to take ownership of the folders and gain access. I wouldn't recommend it, you might mess up your XP installation though.
4. You ought to try Brinks' Suggestion and delete the $Recycle.Bin folder (See his post for instructions
Recycle Bin Corrupted - Cannot Delete File or Folder - Vista Forums)