Windows XP Explorer has a 'feature' to provide a preview in the Details box on the left of the file you have selected, if it's supported. Image files, HTML pages, video clips, MP3s, etc are all previewed (even with the folder view open).
If you have a large movie clip and it either is corrupt (ie. no index from a partial download) or it uses an unsupported codec, then Explorer tries to load the whole file. This can slow your computer a lot and prevent deleting/renaming/moving/etc the file until it's finished.
Simply do the following steps:
1) Open a command window (Start->Run, type in 'cmd' hit enter)
2) To remove image preview, type and hit enter
regsvr32 /u shimgvw.dll
3) To readd image preview, type and hit enter
4) To remove media preview, type and hit enter
regsvr32 /u shmedia.dll
5) To readd media preview, type and hit enter