That happens when Win is trying to read file info. For example, when you click on an avi file (clicking is enough, not opening) XP is trying to read file info. Go to Start menu > Run > Browse and delete the file that way. If XP can't get the file info, it will just keep trying, making it impossible to delete the file. Command propmpt or Start > Run > Browse should do the trick howewer.
If this tends to happen especially with avi files, you can disable this feature in WinXP.
1. Open up regedit
2. Goto HKEY_CLASSES_ROOT\SystemFileAssociations\.avi\shellex\PropertyHandler
3. Delete the "Default" value which should be "{87D62D94-71B3-4b9a-9489-5FE6850DC73E}"