Have you tried manually deleting these saves?
Failing that I'd suggest re-installing the game, but for all I know there could be a better solution :shrug:
Also I found http://cs.elderscrolls.com/constwiki/index.php/Talk:Main_Page/Archive_01#Known_Issues, if it helps at all:
Hi, dont know where else i should put this: Error Message: "Warning: Unable to complete operation due to failure removing previous tempfile remains. Continue playing? "Yes to all" will disable warnings this session." This means some application is still using your plugin file and the construction set fails to save your new version. Be careful not to press "Yes", as all your following saves will get lost with no error message. To solve this: Close your programs and reboot, when you get the errormessage for the first time. Does anybody know a better workaround, so you dont lose your newest save?
Also check http://forumplanet.gamespy.com/morrowind_technical_problems/b49680/19950105/r19957753/ - are you running Vista?