Welcome to the wibbly world of UAC.
Thought you mean't a different message, ie the one that appeared in XP when you try to run an .exe for the first time you downloaded, that one drives me nuts.
Basically, you installed that folder with admin rights enabled so you need to up your priviledges to delete that folder again. The little shield on continue is a giveaway, once you press it and have UAC enabled you will have to authorise it.
Not perfect, but most secure
Personally have UAC disabled at the moment, but I feel I am one of those that has full control of their own PC.
Trojans strike now!