1. Do a chkdsk first.
chkdsk C:\ /F (Use other letters if you did not install on C
Answer Yes and reboot if a question appears.
2. Use unlocker to delete it. http://ccollomb.free.fr/unlocker/
3. Could be a rights/permission issue.
Are you logging in as an administrator or a normal user.
What is the exact error message did you get?
If it says access is denied do the steps below if you're logged in as the administrator. (I'm not sure about vista, it should be almost the same)
Right click on your Lunia folder eg. C:\cdcgames\Lunia\
Select Security Tab
Uncheck "Inherit from parent..."
If prompted with a message click on Copy.
Select Owner Tab
Click on your Username
Check "Replace owner...."
(You should be back at the properties windows with the security tab after the step above)
Select your Username
Check "Allow Full Control"
Check "Replace child...."