thinkaholic - 10:57 pm on Mar 17, 2006 (gmt 0)

View the properties of the folder (right click > Properties maybe?) and it should list the Owner and Group. If the Group is not your hosting account username, then it is not owned by your hosting account, therefore, the server cannot give you permission to delete it.

You'll probably need to contact your host to have them delete the folder(s). They have root (Super User) access.