The file/folder is there because you had installed it before, but failed to uninstall properly, I guess. It's possible that the service from the previous install is still running, so you should
- uninstall it correctly, or at least
- stop the service. If you can't find it, then you can
- restart in Safe Mode, and delete those files. But things are a little messy there, because who knows if they will be missed next time you start normal...
So I have the hypothesis that you have a running sql server process. Let's see if it's true.
Look around in your Services Manager (write services.msc in the Run box), to see if you can identify any running sql server process.
Alternatively, open a command window, and issue
net stop MSSQLSERVER
just as it's described at http://msdn.microsoft.com/en-us/library/ms190236(v=sql.105).aspx
After you stopped the service, you should be able to delete those files.