You can always remove files from a windows folder. It's only if a program that is currently running or the operativesystem in itself uses the files that you get a access denied prompt when trying to remove them. (or remove them with the administrator account if all else fails. He can take ownership of folders and files and delete them at his own leisure.)
And the "improved" filesystem is not improved or new. its NTFS, and has been selectable in Windows since WinNT4 if i'm not mistaken. Sure, FAT32 is usable but NTFS supports journaling and filepermissions. NTFS is vastly superior to FAT32. :-)
No, I don't like to use Windows. Seriously. :-D
But I use it daily in my education...