Look carefully at the message and you will see the dot at the end of the filename. This problem occurrs when third party software (e.g. a plugin in Mozilla Firefox) creates a file that has a 'dot' at the end without any further file extensions (e.g. 'mozilla_created_file.').
Safe mode, security software, trying to rename the file in command prompt won't work. It seems the file system cannot reach the file by its name. However, it is possible to reach it with wildcards.
Go to the problem folder in command prompt and run:
C:\ProblemFolder> del *.*
Then you should be able to delete the folder any way you want.
Or else if you don't want to delete all the files in that folder,
Start->Run "cmd"
CD to the path that the problem folder or file resides in.
DIR /A /X /P
RENAME (the 8.3 filename for problem file/folder) (a non-problem name)
EXIT