Just follow up information if anyone else gets stuck.

The suspect file(s) that are genuinely created named "AnyOldFilename."
Created using 'save as' dialogs in Outlook Express and Internet Explorer on
WinXP

The file can not be accessed in any boot mode or even from CD boot disk
command prompt. tried 'chkdsk' many times with disk surface scan...

Won't Rename, Delete, Move, Copy, Open, Attrib, over write etc.
Stuck with a 0 byte file.
Deleting gives the OS error dialog
"Cannot delete file: Cannot read from the source file or disk"

Changing the file properties gives only 2 tick boxes (Read-Only and hidden),
both unticked and if I change any and apply I get the following OS message:
"An Error occurred applying attributes to the file: The system cannot find
teh file specified"

This is no ordinary system or hidden or in use file.
This looks like a fully reproducible OS file system bug.

NOW THE FIX!!!

http://ccollomb.free.fr/unlocker/unlocker1.7.6.exe
referenced here http://www.bootdisk.com/utility.htm

During installation be sure to tick the 'Send to' option tick box for shell
embeded.

Right click the suspect file and 'Send to->Unlocker'
Wait a while while Unlocker checks for s/w updates...
Eventually Unlocker returns a dialog,
drop the list from 'no action' to 'delete'...
HOOOOORAY!!!! file has gone!