Try the bottom suggestion first. Not sure if it will work on a folder. If not try the top one using the rd command. (remove directory)
(boofhead Hipster. Paste the info)
Deleting files - Access Denied Error
Explorer.exe in XP has a bad habit of wanting to hang on to files, even when you have finished using them - therefore when you try to delete the file, XP will say "Access Denied".
This error occurs more often when working with media files - mp3, avi, mpeg etc.
Close all open applications.
Open a command prompt and navigate to the directory with the offending files.
Then open the Task Manager and click on the Processes tab. select "explorer.exe" under Image Name. Click "End Process".
That will leave you with only the command prompt and the task manager running.
Now at the Command Prompt, its time to delete the file(s). Using the DEL command. Example c:>\movies\DEL movie.avi
Now the files are deleted, go to the task manager and click on the Applications tab. Click the "New Task" button. in the dialog, type explorer.exe and click OK.
For folders the command is 'rd'.
OR this (not tried)
Just open NOTEPAD and then click on "OPEN". Navigate to the file in the little Notepad "explorer" window and right click on the .avi file and delete it. Supposedly that's will do it.
I don't think it's the .avi problem. This looks like you've locked yourself out from these folders. Denied yourself access in the security tab or something. I don't really know how to fix it. Log in as Administrator perhaps?
First try the reboot!
Second Check the Security Tabs (YOU HAVE TO BE ADMINISTRATOR)
Your in XP so the only other answer is this is a swap file for some program you have running. Like a firewall program or Video/Audio/CD burning programs. They all have directories which if you open the program then close out explorer locks access to those files from all but the program because it sees it as being accessed(rebooting should fix this one)
Try a virus scanner; an online one if you don't have one.
That's all I can gather.