There are several reasons which may apply:
1. You may have Microsoft FrontPage extensions installed on your account. Connect to your site with the FrontPage Explorer to delete directories, or contact Domain Support support to have your FrontPage extensions removed if you wish to delete directories from within FTP.
2. You may have access restriction enabled on the directory. Remove access restriction from the directory and delete the directory using FTP.
3. Make sure to remove all files and subdirectories which occur within a given directory before deleting that directory.
4. Your directory name may consist of unusual characters (spaces, punctuation, non-standard characters). Contact Domain Support support to have the directory removed.