I'd test disabling the Act! Notifications as well on your PC, see if you're then able to delete the folder - if that works then it sounds like a folder path has gotten confused somewhere, you'd probably want to reinstall the software and see if the issue comes back.
The setting is in the same location as the custom messages (see my previous post on this, Tools > Preferences > Notifications) - the setting is "Show Act! announcements"
