The files you are describing are so-called owner files (sometimes referred to as "lock" files). An owner file is created when you work with a document in Word, and it should be deleted when you save your document and exit Word. Sometimes these files are left behind, for example if Word crashes, and you can delete them manually. See http://www.gmayor.com/what_to_do_when_word_crashes.htm.
For more on temporary files in Word, see http://support.microsoft.com/kb/211632/en-us/.