What is Prefetch File?

I have a lot of Prefetch Files (.pf files) under /Windows/Prefetch folder in my laptop. The prefetch files are created within a week at first week of May. My operating system is Windows XP Pro. There is also a pop-up dialog box asking for password to access internet proxy, even when I not log on and this happen every five minutes. I have only started experiencing this problem since 2 weeks ago.