I have tried to reproduce your problem without success. The files are still there and visible in Explorer or Organizer folder view.
My configuration is very similar, PSE5.02 on Win XP SP3, Adobe Camera raw 3.5. I put 2 jpegs and one .CR2 file (Canon 20D). However I don't use a NAS drive.
Are the missing file in the waste basket ?
Note that you are not speaking to Adobe here, it's a user to user forum. Anyway, Adobe will support only the most recent versions of Elements.
Thanks a lot for testing this problem so quickly. I really can't think of any cause for it. On my sytem, the erased files are also still visible in the Organizer (as thumbnail), but disconnected from the actual picture file.
No, the missing files are not present in the waste basket (Windows standard when the deletion occurs on an external disk).
Not sure why this is happening this way but may be closing PSE processes which access and work upon files in the background might make a difference.
Please launch Organizer and click Edit >> Preferences >> Media Analysis and turn off all checkboxes.
From the task manager, kill the following exes if running-
Adobe Photoshop File Agent
Dynamic Link Manager
repeat your workflow and check if the issue still happens.