EXE files stuck up on my desktop

Recently I stumbled upon a strange issue, I copied some installers from a server to the desktop of my winXP notebook, so that I could install them later. After installation, I couldn't delete those .exe files with an error that the file is being used by some other program. rebooting the notebook did not help.

To find the culprit program that was blocking those exes, I downloaded the "Process Explorer" from Microsoft Technet. It allowed me to find the process that was locking the exe files on my desktop. It turned out to be the "explorer.exe" process. I killed and restarted the explorer process from task-manager, the exes were still locked.

Then I opened an cmd window, kill the explorer process and removed the files using good old "del".

I still can't delete any exe file from my desktop. I am however, able to delete other files. I tried to search for the reason of this strange behaviour on google, but couldn't get any reason. If a get the reason I will certainly post it here.