The My Music (and My Pictures, My Downloads, My Videos, etc..) are not always real folder names. They are just pointers to another folder, typically under the "Documents and Settings\user name\... " tree. So you may have already deleted the real location and this pointer doesn't know what to do. You can download a powertoy from Microsoft called TweakUI.
http://www.microsoft.com/windowsxp/d...powertoys.mspx
After installing, expand My Computer option, then click on Special Folders. In the right pane, you'll see a pull down list. Find My Music about halfway down the list. This will show you where the folder really is and also gives you the option of moving it. You will need to logoff/on after changing anything.
In the event that you still can't delete a folder. you will need to unhide/unsystem/unread-only everything in the folder. Start/Run .. Cmd.exe
cd to folder
dir /a -- shows any hidden files
attrib -r -s -h *.* -- will allow you to delete any hidden/sys files
del * -- deletes the files
cd ..
rd foldername -- delete the folder
(there is a simpler much more dangerous way, so i will give you this method instead :-)
have fun