Hi,
I have noticed the same thing:
When deleting Pictures in XP, the system somehow moves the picture(s) inquestion into a "new" folder, and to the Recycle Bin.
Trying to delete the "new" folder or the "new" pictures, again it will move the stuff to a "new" folder and the Recycle Bin.
You can find out by Deleting these Pictures and then search for Pictures created, say today, and they will be all over the place.
I don't know what I did to finally remove them, but I got rid of them.
You may want to look into dumping "Photo Gallery" or whatever. This controlling, pesky, bossing function forever appears when downloading pictures from a camera.
hope this helps