I only had that problem once..... but it sorted itself out after i installed the latest patches, from both larian, and Microsoft.
What DID help to get the space back on my HDD, was a normal "disk cleanup" as comes standard with win XP....
What antivirus package are you using???? I had that problem only while i was running an antivirus that tried to protect my files from being deleted (cant remember which package it was though.....) After i set the antivus to stop monitoring files while i play, the problem disappeared, and after i updates windows, i could re-enable the antivirus without it causing hassles.
If you have any file-monitoring, or data security software running, try to disable them, and see if the problem is still there.....