There may be a couple reasons why you can't delete a file on your SD card.
1. You may have the SD card locked.You can unlock it by phyisically sliding the "Lock" slider on the side of the SD card to unlock position, some SD cards come with this feature.
2. The file(s) you are trying to delete are system file(s) and should not be deleted.You can still delete a system file, however, i would take caution. Refer to line 3 below.
3. You may not have adequate permissions to delete this file.You can take ownership of a file, which in many cases, will allow you to modify almost any file, wheather system file or not. Refer to garmanmas' post above for a link for taking ownership.
After performing the steps above one by one, you should then beable to delete the files. Please let me know of your results