Whoah, SLOW DOWN THERE NELLY! I hope you see this before following anyones advice so far, not that they are totally wrong but you need to be sure of what your trying to delete.
Let me explain, there are some files you cannot delete because they are system files, i.e. NEEDED FOR WINDOWS TO RUN! It may not be completely apparent because some files are accessed by other files and have funny names like MBX@15F0@8B2600.### or Perflib_Perfdata_dbc.dat, some even have READABLE NAMES!
This is the same, roughly, for most programs under windows. When you start a game or an application it USUALLY creates a .tmp (Temporary) file, which is locked to the application in use, the more apps you have running the more of these temp files you'll have. NOT ALL OF THESE KIND OF FILES ARE .tmp, thats just the most common.
Before you start unlocking files & deleting them you need to be sure of what it is, what its attached to etc...
MOST, and I use that loosely, temporary files will get deleted when you switch the computer of. I say loosely because thats not always the case.
If you want to make sure all the files have gone do a reboot and a disk cleanup (in accessories folder in xp) BEFORE starting any other programs, this will get rid of any temporary files it may have missed.
If you still have files you can't get rid off try doing the above in safe mode (press F8 on a reboot). Anything left after that are either in use or system critical!
You don't have to be careful JUST BE AWARE!