Edit - 4 am 16th (Can't sleep) Just seen your note on My Documents being empty.
If that is where the folder is then you have a corrupted hard disc. Try a right-click on the drive in My Computer, select Properties\tools\error checking\ check now\fix automatically. Reboot if it says you need to. Let it fix the disc. Sometimes you will find all the files have gone afterwards. Sometimes there will be a bunch of unknown files. Just delete them using one of the ways I said if that is the case.
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The fault is with explorer.exe. It has always had problems with large numbers of files. The problem has become worse rather than better over the years, and it isn't just deleting files, copy paste also has problems.
There are few things you can try that should help or work around the problem. Solutions 3 and 4 are the most likely ones to make you a happy person.
1. Avoid the step where Explorer enumerates (lists internally) the files one by one prior to delete (it also checks the sizes one by one to see what it can leave in the trash can as recoverable!) by doing a shift-delete. Select the files with ctrl-a (for select all), then press AND HOLD shift then hit the delete button on the keyboard.
2. Combine solution 1 with not listing the files so exhaustively. Delete the folder containing the files with shift-delete. Clsoe any Explorer windows except the one for the problem folder.
3. Try mini explorer 2 by L. Madhavan
http://www.geocities.com/casablanca2000in/msp/?200528#me2
Unfortunately this site (run by Yahoo, though it may not be Yahoo's problem), seems to be down. So I have uploaded the utility (which is on my standard list of programs) to:
http://sharebee.com/815e81b6 pick any link 6you like and download the zip.
You do not need ti install me2. Just unzip and run the exe with a double-click. As a precaution (though it is clean) you should scan the zip for viruses prior to use as I am not the original program source. Or upload the .exe to virustotal.com for a quick check with all the major anti-virus engines.
http://www.virustotal.com/
4. (we'll solve this one way or another) Delete from the command line.
In XP go "start"/run/', type 'cmd' into the run box (without the ' '), then hit
. The (black command window will come up. If you have not done command line before then it can look real weird, but don't worry. Then do a 'cd c:\' to get to the root of drive c:, then 'g: to get to the root of the target drive (replace g: with the drive your files to be deleted are on).
Now to back to explorer and select ONE file in the target folder. Right-click and select Properties. In the properties dialogue for that file. select ALL the path (eg 'G:\new folder\copy of new folder\target folder name'. Do a Ctrl-C to copy that path, then back to the cmd window. Type'cd', then a SPACE, then right-click anywhere on the black window and select Paste. The full path into the target folder will appear after cd and space. Hit . You should now be in the correct folder. Do a quick 'dir /w' to list the files and folders there. It is a lot quicker to list than in Explorer So far so good. No danger as nothing has been deleted. Now you are about to delete the entire list of files you saw. Type 'del *.*' there will be a quck confirmation "Are you sure Y/N". Type 'Y(es)" or N(o) Should take less than 10 seconds. Yes command line is a pain, but boy is it quick.
One of those will make you happy. let me know how it goes.