Select & delete from LW's Library window. However .. you will need to 'unshare' them first. ie: Control-click them & choose Stop Sharing File/Folder from the menu that appears. I'd suggest you do these steps from the upper folder level so it affects all the sub-folders underneath (inside) .. of course depending on how they are layed out.

You didn't mention earlier there were .exe files so .. yes you have definitely come across something belonging to windows (probably a virus .. especially if it is invisible to view normally!)