I restarted PC and WinXP automatically did Checkdisk and removed all the files from that folder.
From the free space on disk D: I can see that those files are still somewhere on it.
When I tried Disk Cleanup for D:, I got option to delete "Old Chkdsk files" from "disk drive's root folder".
I didn't, of course, cos those are the missing files. But I don't know how to get to them! I tried search for hidden & system files with no success.
PS: My IT knowledge is rather limited.