Windows keeps track of your system each time you boot up; which programs you choose to start and use etc.
This information is stored in smaller files in the C:\WINDOWS\Prefetch folder. Each time you boot or restart your computer the OS refers to this Prefetch folder and makes use of it to speed up your boot time.
Deleting files from this folder is really a waste of time in my opinion. The folder itself self maintains itself; thus if you stop using a particular application regularly Prefetch will remove its Prefetch reference itself.
If you are using 3rd party applications like cCleaner for example to empty this folder, or doing it yourself manually, the only result you will get is a Windows OS that will take longer to boot up.
If you insist on deleting certain files from this folder then you will most likely need to do a clean boot as its not possible to delete files that are currently in use by the Windows OS.