Cannot delete porn sites in favourites

OS XP Home.
Have tried to delete porn sites (Files) in Favourites.I have deleted the folder, it contained five porn files.Deleted them from search they are shown in C:/files & setting/favourits.The folder & files go, but return after reboot. Deleted them again, then set a new restore point, deleted all other restore points, but they are back after reboot.
Is there a progamme I can use to remove them?
Help please.