I have had this problem with Namesco & Falcoda both under Linux servers. I don't think I can blame either of them - it was down to WordPress and ZenPhoto respectively. With Namesco I just deleted what I could and left it at that. On Falcoda I used their basic "File Manager" to examine the folders and found the invisible files. Some thumbnails had huge names 100+ characters long (maybe this causes Filezilla a problem) others did just seem to be broken - I couldn't see anything wrong with their names ie 2.jpg. But once I had deleted the files which Filezilla couldn't see, I could delete the folders.
If your host's Control Panel has a File Manager or FTP type prog, give it a go and see if there are invisible files and whether you can delete them from the Control Panel.
If your host's Control Panel has a File Manager or FTP type prog, give it a go and see if there are invisible files and whether you can delete them from the Control Panel.