Hi Ionic,
welcome on board!
This is a very annoying
bug (yes for me is not a feature
see) that come with the last version of PellesC.
Pelle (the author of this great compiler suite) decided to handle in this way the files that are not in the project folder.
Unfortunately he forgot to add support to remove, exclude, etc. for those files...
We hope he will change it sooner or later...
For now, if you fill confident, you can edit the prj file and manually remove the files, or cancel the prj file and create a new project.