The folder is still in use by some process. This is very common for programs that integrate with the shell as the shell extension that provides the functionality is loaded until a reboot. Once you reboot you should be able to delete the folder.
If you have already rebooted then most likely there is an extra process hanging around that didn't get cleaned up properly. Use Process Explorer to find out who has a handle to any files under that folder. Once you've found the process the steps needed to clean up the process and remove the folder generally are obvious.