Problem being Dave, I couldn't trace the files anywhere but after much searching I found the answer on an XP forum as it appears there's quite a few folk stumped on how to delete these files. Here's the answer below...................................................
However, if you want to disable this service, go to Start, Control Panel, Administrative Tools, Services.
Navigate to Web Client and double click on it. You will see a box towards the middle of the new window that says Start up type Automatic. Click on the word Automatic and select Disable from the drop down menu. Check to make sure that the word Disable is now in this box, if it is not, click again and select disable, and now click on Apply in the bottom right hand corner.
Now close all the windows you opened to get here.
When you next reboot, this service will be disabled and you will be able to clean up those files without them returning.