I've had that problem too... What I'd usally do is create an empty file called named the same as the file folder that you want to delete and then cut and paste it, and then after that delete the blank file...
And I find the other alternative possible too... If your file resides on your C: drive for example, you can open up cmd and then type this chkdsk c: /x
This will dismount the volume and all existing references to the volume will be disconected. That way you should be able to delete it after that. See if that works.
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