XP will refuse to let you delete Pagefile.sys - as it's name suggests, it's the system's Page File Swap File to those back in the Win9x world

Also try clearing out your Temp folder (probably under the Windows folder if you haven't moved it), that tends to accumulate stuff. There might be a Memory.dmp file left over in the Windows folder from your last blue screen or something too - you can delete that, it's basically a copy of the RAM when the system died.