If you are mass deleting files, Windows will stop at the first file it cannot delete. It is often best to delete certain temp files in Safe mode if you get a lot of errors that files are in use by Windows. ZoneAlarm temp files are a good example, but here are some that can be stubborn.
C:\Windows\Temp\*.tmp
C:\Windows\Internet Logs\*.tmp
C:\Windows\Internet Logs\*.dmp
C:\Documents and Settings\[username]\Local Settings\Temp\*.tmp
(Windows XP RTM/SP1/SP2)