Windows XP and deleting files with invalid filenames (The system cannot find the path specified)

I was fighting for several days to delete a file in Windows XP that started with dot underscore (._). The message was always: "The system cannot find the path specified". Nothing worked. No safe mode, no command line, no special syntax. The Microsoft Knowledge Base addresses the problem, but instead of pointing to an easy solution it gives lots of useless and even wrong information, e.g the Windows XP Resource Kit didn't contain the RM.EXE program, that was supposed to be able to delete those files with "weird" file names. Finally I found a software called Delete FXP Files, that did the job for me. However, how on earth did Windows manage to created such a file in the first place if its file name is invalid? The dot underscore ._ comes obviously from Macintosh, but in any case Windows must have allowed the creation of that file...