Did you delete from the NT/2000 GUI? Or from SQL?
There might be some setting that is trying to keep files in the recycle bin( like 3rd party sfotware.
Also be sure there are no processes working on the machine that might conflict (like backup software, sql, etc.)
Did you try deleting different files? Asking because sometimes someone will keep trying to delete teh same file and the problem is with that file, not the delete method in general.