Using CMD won't work in all cases, since some files may have restrictions beyond your Administrator powers, but you being unable to delete this particular folder, was most likely because of there being a .dll file in there with a certain name. If you had gone into the folder and deleted each file manually, it would probably have worked fine aswell.

If there's something you can't manipulate in any way, not even through CMD, it's probably because Windows has locked down the file, to prevent you from using it. While this is practical most of the time, it can be very annoying in certain situations, and it can be disabled, but I wouldn't suggest it.