Find the program doing the dirty deed.
A friend of mine had this problem, and I figured out the following which got rid of it for him. Unfortunately, I do not remember the name of the Bastard or where I found him, but the following is the Scenario I used.
Before you start, I would advise starting Explorer, and setting his View Options to show all Files and all file Attributes. It might be necessary later. In Explorer, Click View, Folder Options, View Tab. Then check/uncheck the file view Options.
If you use Ctrl-Alt-Del, Windows will display all the Tasks running. Scan the list and see if you can identify the culprit. There must be a program running to do what you are describing. The Window which displays the running tasks, has an Option Button to terminate programs. Use it to terminate the Bastard. You should be able to delete the File now, but you are not done yet: He will come back when you Restart your system.
Make sure you write down any information you can get from the Task Monitor Window before you Terminate him.
Next use Start, Programs, Accessories, System Tools, System Information. When SysInfo starts, you will see a Tree Structure on the left. Check for Components, Software Environment, Startup Programs. Click on Startup Programs, to get more information about the Bastard. This should tell you his name and the folder where he resides. You should be able to erase him.
Next run msconfig. This is not always available via Start, Programs, Et cetera. Try Start, Run, Browse and find msconfig.exe in C:\Windows\System. Run him. He has a Startup Programs Tab. Click on it, and uncheck the Bastard if you can figure out who he is.
When I erased the culprit on my friend's System, I had to turn off System, Hidden, Read-Only Attributes. I use Ztree to do this, and do not know how to do it any other way. I am sure that Windows Documentation can tell you how to control File attributes.
If you have what my friend had, the above should work. It sure sounds like the symptoms he had.