This happens because you have hidden directories under the directory you are trying to delete. FrontPage Server extensions create the next tree of system or hidden directories under each web or sub-web root:
Plus, there is a hidden _vti_cnf directory in every content folder.
There is a "rule of thumb" for working with FrontPage webs - if you created a sub-web or folder using FrontPage, delete it using FrontPage commands - either Delete FrontPage Web, or Delete Folder. Never use FTP to delete content published with FrontPage. For details please see Knowledge Base article #310.
When you remove a sub-web using FrontPage client, not all the files can be deleted right away because some Front Page ISAPI DLLs are loaded by the web server into memory. These directories will be eventually deleted by the system when IIS releases the lock.
In the case you deleted several FrontPage folders using FTP and your FrontPage web is not accessible anymore, please repair FrontPage extensions from HostPilot at "Web/FTP Server > Web Server > Website Tools > FrontPage 2000 > Manage" page. Please follow directions in our knowledge base article "How do I Repair FrontPage Extensions?".