If you are using Windows, and you know the location of the virus/folder that can't be removed.
You can try to start up your PC in safe mode using only Command Promt (If I remember correctly holding down (F8 key) just after pressing the On button, you will be taken to a screen with some choices on it) Do not start Windows at all Then you can go to where the File/Folder is and delete manually (just remember that Command Promt does not have a thrash can, so anything deleted is gone forever)

Since this is a securety related tread, it might be a good idea to tell you what I use to protect myself, and keep at optimum performance. I might be a bit overprotective, but I ran into a really nasty one a while back.

Antivirus:
Panda Internet Security Platinum
I only use the Panda firewall included. Never use more than 1 firewall at a time

Malware protection:
Microsoft Antispyware (Beta 1) Free
SpywareBlaster (from Javacool Software LLC) Free
Ad-Aware SE Pro
CCleaner (CrapCleaner) Free (also does a lot of good optimizing performance)

Optimized performance with:
Wintasks Pro
Registry Mechanic

Extra Protection:
Peerguardian 2


Also I found a very interesting link while browsing the internet, might wanna check it out. Interesting reading (also for the more advanced users of this forum)

http://www.spywarewarrior.com/rogue_anti-spyware.htm