Win XP internal CD burner problem

Let me just start by saying I’m a little embarrassed asking the smart dopers a simple computer question (simple to others, hopefully) and I have checked all other resources that I can come up with.

On to the problem:

I think the feature in XP for burning CD’s by just drag and drop to the CD-R drive is just nifty - or thought so. It won’t delete the temp files. So a while back I burnt a CD with about 300MB of .eps files. It went well but the next time I was to burn something, the damn tempfiles were still there, on the F: (which is my CD-R). Problem is - the original files have been deleted, so the temp is not refering to anything.
Fine, sez I, and deletes them. Nope. Windows won’t let me: “The files you are trying to delete is in use by another application or user. Please… blah blah blah…”
No they’re not. They don’t even exist anymore. The really strange thing is that when I burn a CD now, the files are included and can be opened from the new CD I make.

Apart from it being anoying as hell, I now can’t burn anything above 400MB.

How TF do I remove the damn things.