Sounds like it was possibly created as the user that the webserver is running as and has it's default permissions. In that case, many times the user you are FTPing as doesn't have permission to delete it.
If it's on a shared server and you don't have permission to delete the folder then you'll probably need to create a script that deletes it (since it will run as the webserver user and will have the proper permissions). If it's just an empty directory, then you'd just create a script in the parent directory with something like:
<?php
rmdir("directoryname");
?>