What are prefetch files?

Each time an application is run in a Windows based system, registry keys and a prefetch file (%windir%\*.pf) which contains information about the files loaded by the application are created. The information in the prefetch files are used for optimizing the loading time of the application for the next times it will be run.

The prefetch directory seems to be limited to 128 entries.

The below screenshot shows prefetch files on a Windows XP machine: