Has anyone else noticed that if you create a new text file or whatever, then rename it to whatever.exe, so its 0 bytes you can not delete it?

This happened to me on my Windows XP machine.
I asked a friend to try it on his Win 2000 machine and it couldnt be deleted on that either.

I had to close explorer.exe process and delete them from within the console.

I know its a nonsense post but why the hell does this happen?