Which version of Windows?
Anyway, first: reboot if you haven't already. Close your browsers and mediaplayers, if there are any.
Then try Scandisk. There's probably an error on your disk or file system, so check if that applies.
Next thing, try to boot in safe mode and delete from there. Also make sure it's not shared, although that really shouldn't be an issue.
If it still doesn't work: Check your permissions. There might be some crazy-ass ACL preventing you from accessing that directory.
Windows->run...->type in cmd and press enter. Type in del, hit space, and drag the offending folder onto the command line. This should insert the folders name. Close the explorer window that you dragged the folder from and any other that displays it, then hit enter on the command line.
Also try this:
Open Explorer -> Go to the 'Tools' menu -> Select 'Folder options' -> Select the 'View' tab -> uncheck 'Show preview handlers in preview plane' if it's there
then reboot and try again. It just may work. Doubt it, but you never know.
Now we're getting into really uncomfortable territory: Go and scan the everloving fuck out of your machine. Online scanners are aplenty nowadays. You may give
this,
this and
this a go too if you want, to check if there are any suspicious hidden folders on your machine and generally check things out.
You may also want to consult a SMART monitor to check the health of your drive. Maybe it's breaking down?