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You are seeing the contents of your Temporary
Internet Files folder. The following article explains
how to empty the TIF folder:

(260897) How to Delete the Contents of the
Temporary Internet Files Folder
http://support.microsoft.com/?kbid=260897

If deleting your Internet Temporary Files does not completely work, you may
have to do something more as given below.

If these are files were downloaded from or e-
mail, they may be in a subfolder of your Internet temporary files. The
folder
name will start with OLK and there will be a number after OLK. The easiest
way to find this folder it is to search for OLK* and once found open it and
see if the
files are there.
Click on Start and Search and then
All files and folders
More advanced options
Search system folders
Search hidden files and folders
Search subfolders
In the top textbox "All or part..." type in exactly this
OLK*
and click search
This search will take a while but should return all
folders starting with
OLK.
Open the folders, change the view to Thumbnails and see
if the unwanted
files are there. If so, just select them and delete. They
will go to your Recycle bin, delete them from there also. Or, hold the Shift
key down when you delete them in order to prevent them from going into your
Recycle bin.