Yeah, I was hunting these files also, it was useless. I reckon the one file was so hard to delete I decided to kill it by reformating the drive.
As to the firewalls I use one in the router the same as you do and the second one supplied by McAfee. Don't like the Avast, it looks like media player.
Btw, As the supplement to system security I allow to full scan my machines by the
Clean Up Center - Windows Live OneCare safety scanner from time to time. It does good job.
Cheers...