In addition to the advice to use a dos-based PPM, make certain that you don't have any processes which have open some file that needs to be removed - for example, check that notepad does not have any of those files open, that you do not have an explorer window open to that directory, that you aren't using IE to look at anything in that directory, etc.

I have often found on windows that the key to fixing any kind of permission denied error is tracking down the application that has the file open and closing it.