Cannot delete document?

I downloaded a program Go dswsms transfer and then copied and pasted the instructions to use this to a word document. This program doesn't work on my phone so I cannot use it. I have 6 files associated with this download - the instructions created a Word Document and an HTML document, I have a document called ESBK.mb and one ESBK.mbb. I have one named Global sw.2, one _setup which is an XML Document. These are all in My Documents except for the ESBK documents which are in Public Documents. When I right click on them to delete them I get a message that Internet Explorer has stopped working and then Internet Explorer is restarting. I have tried everything and cannot delete these and I want to get them off my computer. Any suggestions - this is making me nuts!!