Cannot delete temporary files

I burned some of my files onto a CD ROM yesterday - The files are Adobe
Illustrator Files.

Prior to burniong the files, I opened each one with Illustrator to make sure
that they were the correct files.

Then I closed them all, then I dragged them onto my CD Rom drive icon andthe
Temporary Files were created for me to burn them to disc.

So I burned them to disc, and when the CD-Rom popped out (at the end it does
that after the files have been successfully written to CD) I received a
message pop up window that said:

"Error Deleting File or Folder"
"Cannot delete [File name]: It is being used by another person of program.
Close any programs that might be using the file and try again."

Now - I rebooted, I have no other programs using that file and I'm not on a
network...

Why can't I delete these files? I even tried "Shift-Delete" - still same
message
.