It's probably a permissions problem. You say it's on your desktop - is that a KDE desktop? A gnome desktop? How did the folder get created? Who owns the folder? Can you delete the folder as root?
A few things:
1: Always post information about your system and all possible information about the situation when asking questions. You should also fill out your distrobution in your profile.
2: you can change ownership of a file like this:
chown username:groupname filename
But you must either be the owner or root.
3: you can change permissions of a file with chmod.
Have a look at the manual pages for chown and chmod: