Chilly - No worries. I get the same thing on my 4 computers. It is as Allan said, files that are in use cannot be moved in XP. Iceman is correct too. Your hard drive is fine - those gaps do not mean that you have damaged sectors.
I've heard Iceman38 mention that you can remove these gaps by doing a boot-up defrag. How can I do this? If anyone has the asnswer please respond by emailing me (my addy is under my nickname on the left). My ICQ number is 162003296.