Wd Sata Hdd - Strange Problem !!

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I bought a new WD Sata HDD and it works great. Except for one thing: if I download with let's say DC++ a folder with some files in it e.g. mp3's, and later I decide to delete it, the files are being deleted without problems but the folder doesn't delete. As a result i have over 50 folders I cannot delete, even though they're empty I deleted the files. So, if I download a folder, it can't be deleted. But, if I create a folder, I can delete it without problems. The message displayed is "Cannot delete Folder: It is being used by another person or program. Close any program that might be using this file and try again". What program might use empty folders? I have no unusual software installed. I also accessed the properties section of the folders. The read-only check box is not checked, but has a square on it. It cannot be modified. My SATA HDD is detected in My Computer as a removable disk drve. I don't know if there is a connection between this and my problem. What can I do? Thanks for your help!