Are you trying to delete the files through a Firefox dialog, or through Windows Explorer?

Are the files in the default Downloads folder or in other folders?

You can do a disk check with the chkdsk.exe program.

If you run the chkdsk.exe program from a cmd.exe Command window then you can read the response from the chkdsk.exe program.
Open a cmd.exe window:

• Start -> Run: cmd.exe <press Enter>

At the command prompt (>) type or Copy&Paste: chkdsk.exe /f /r <press Enter> (put a space before /f and /r)

If you get something like: Would you like to schedule this volume to be checked the next time the system restarts? y/n then answer the question with "Y" and close all programs and reboot the computer.

You may need to disable your anti-virus software temporarily if you keep getting problems with downloading files.