Then I have to admit I'm stumped.
The error looks as if you have insufficient access rights.
The error you should get deleting a non-empty directory is different, I'm stumped.

Using VFP you would have to go to the lowest level directory, delete the files in it, delete that directory, delete eny files in the nect level directory, delete that directory and so on.
There isn't a "delete everything I really mean it" command in VFP.