Its happening bcoz of the WFP (Windows File Protection) service
I'm assuming that u r trying to remove system screen savers, which come by default in XP.
Actually a copy of each system file resides in
%windir%\System32\Dllcache folder also. Thats why whenever u delete a screensaver, windows automatically restores it from DLLcache folder
If u want to remove them, then either remove them from DOS or ne other OS or just install WFP Patch