I met this before on Windows XP and Windows 2003 server recently. It is sometimes very annoying if you don’t know how to resolve this. It is not security issue, because if you right click on the directory and select Property, you won’t see Security tab at all! You cannot delete, rename or change anything against it. Even if you run checkdsk, you won’t find any error.
The root cause is some background process is accessing this folder or holding a handle of it. So something you can just restart your computer and it goes away. If restart doesn’t help. You can consider
1. Use process monitor to find out which process is accessing it, kill it and delete
2. Or you will find explorer.exe is accessing it, what to do now?! Just kill the explorer process in Task Manager. Your desktop will be gone now. Please open the Task Manager by Ctrl+Alt+Del if it is closed, click on the New Task button, type CMD, delete the directory in CMD window will work. Then you can type explorer in CMD window to restore your desktop.
Hope this will be caught by Bing or Google and help.