The manual removal route probably wasn't the best way to go (unless it was your only recourse): aside from the files that the modem installation added, it also would have made changes to your registry which will be difficult to find and remove by hand. You might want/need to use the System Restore function to reset things back to a state just prior to your attempted installation of the modem.
As to your specific question though, try one of the following to get to a point where you can delete the files in question:
1. Open Task Manager and look in the running process list for the 2 files. If you find them there, select each one and click on the "End Task" option. See if you can then delete the files.
2. Reboot into Safe Mode (by hitting the F8 key just as Windows starts to load). You should be able to delete the files from there, as they shouldn't be automatically started by Windows under Safe Mode.