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Have you tried rebooting your machine?
I'm just joking. Don't reboot your machine. It's unnecessary...
Are the files you're trying to delete executables? What's their extension? If these files are spyware, as you suspect, then they're probably executables and running when you tried to delete them. Launch Task Manager, switch to the Processes tab and, under the Image Name column, look for the filenames you're trying to delete. Right click on those filenames and select End Process. That should end those processes and allow you to delete their executable files.
If they're not executables then you're unlikely to find them in Task Manager. In that case, these files are simply being used by the spyware (again, if we're to believe you spyware theory) and you simply need to stop those processes before delete the files. Come back here and I'll instruct you on how to do that...
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