I described NTFS Junction Points in tip 2600.
When you try to delete a folder that is located on a mounted volume, you receive:
Cannot delete <FolderName>: Access is denied. The source file may be in use.
The Recycle Bin does not properly interpret the path of a folder on a mounted volume and tries to place an invalid path in the Recycler folder.
Your only solution is to bypass the Recycle Bin, by using either of the following methods:
1. When deleting in Windows Explorer, use the SHIFT+DELETE key combination to bypass the Recycle Bin.
2. Open a CMD prompt and use the RD /s /q object command to delete the folder.