It is also worth noting that despite what the above poster states, it does not hurt to clear out your prefetch folder. The reason is that although Windows Xp does trim this down depending upon number of entries (max=128), if you only need, say, 30 entries then 128 is about 4x that amount and does directly mean more prefetching than is necessary. I wouldn't clean this out weekly like some people suggest (it will take a few reboots for this to become fully populated with what you want again and those reboots will be slower), but I wouldn't say never clean it out.
You obviously don't get how prefetch functions. You act as if the prefetch trace files are a cache and the prorams are preloading into memory upon startup. A .pf file is simply a list of pages to load that is only accessed upon starting that particular application. When you load an EXE, windows checks to see if there is a matching file in the prefetch folder and if there is, it loads those pages. If not, it tracks which pages are loaded and then creates a .pf file. Nothing is pre-loaded into memory at all. It is a feauture which atempts to lessen seek distances by prefetching every file in a particular directory, rather than jumping around the disk, which would normally happen without prefetch. A page from one file may be loaded, then a page from a different file, then back to getting a page from the original file upon request.

The ONLY thing cleaning out the prefetch folder gives you is a very tiny amount of disk space back. That's it. It definitely doesn't help performance, actually quite the contrary, at least initially until WIndows re-creates the trace files.