Are you using IISv4 or v5? If you are using v5, and you running the web site in low, medium or high isolation? If it's medium or high isolation, then the dllhost.exe process is running under the IWAM_Username account, and you need to give that account sufficient NTFS privileges to delete the files on the server...
If you are unsure, you can use the FileMon utility from
www.sysinternals.com to see if there are any access denied errors occuring, and on what files they are occuring on.
Cheers
Ken
www.adOpenStatic.com