When I try to delete some files I'm told that they are no longer in that folder
Does it actually say that, I'm surprised, or does it just say you can't delete them?
You may not have permission to delete them and need to access the Security Tab to change your permissions. You may not have a Security Tab, e.g. on XP Home, in which case you need to do it under Safe Mode or install this software:
Scesp4i.exe
1999: Freeserve 48K Dial-Up => 2005: Wanadoo 1 Meg BB => 2007: Orange 2 Meg BB => 2008: Orange 8 Meg LLU => 2010: Orange 16 Meg LLU => 2011: Orange 20 Meg WBC