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If the directory and files you want to delete are in your home directory, use 'rm -rf /path/to/directory' to delete them (in a terminal). If you su to root, use the same command to delete an unwanted directory anywhere in the filesystem.
NOTE: Using su to delete directories outside your home directory is is very risky. Any mis-typed command could make the system unbootable.
If you are using the KDE environment, 'kdesu konqueror' will open konqueror with root privileges. Be very careful deleting directories this way. Be sure you have a recent backup ready to restore. Any typo could cause you a lot of grief.
True, but let us not exaggerate the danger; many of us do it regularly without problem. It has been said that it is more dangerous to run a GUI with root privileges (but I have not seen the reasons explained).