What type of folder are you deleting and are you part of the
Administrator group?
Start > Control Panel > User Accounts
It should state Computer Administrator under your account
name.
Right click on the folder that you want to delete. Select
Properties. Make sure that the Read-only box is not ticked. If it
is ticked, untick it and try deleting it. If it's not ticked,
double click to open the folder. Repeat the steps for all the files
found.
Also, an access denied message is given when the program is still
running. If you have uninstalled a program and the folder refused
to be removed, it could be it hasn't been uninstalled properly and
therefore the folder can't be deleted manually.
Try reinstalling and uninstalling the program and see if it helps.
If it doesn't work, it probably needs a reboot to remove it. Some
uninstallers never prompt on this issue, so just manually restart,
and try deleting it.
If there are quite a few people sharing the same PC, it could be
their folders that you are deleting as well, which resulted in this
error.
Last reason would be a few users sharing the same PC, one of the
users have denied you the rights of deleting that folder.