the file is probably owned by root, so you can't delete it. to see who owns it give the command
ls -l whatever_the_filename
then, if you're sure that you want to delete it and it does belong to root, you will have to su to root. enter
then enter the root password. now you should be able to delete it. don't forget to enter
to get back to your normal user mode.
hope this helps.
Edit: if you still have problems, and really want to get rid of it, use the -f option with rm. this will force it to delete.
An obligatory word of warning: be very careful when using rm as root. if you type it it will be done. An accidental rm -rf / would effectively wipe away your root directory. not good.
Another Edit: upon rereading your post i noticed you said it was a folder. if you use the -r option with rm it makes the delete act recursively with all files and subfolders within the target folder.