You get this message when you try to delete sites/default/settings.php of a Drupal web site. Even changing the permissions with FTP client to 777 doesn’t help. Very annoying, yeah?
Here are 2 solutions:
1. Go to cPanel – find Legacy File Manager. From there you can delete the folders without any problem. Or if it seems like it’s not working – try again the FTP.
2. If the above trick doesn’t work – try some of the scripts here: http://drupal.org/node/231401