In my expirence Cute FTP is not great about deleting directorys with files in it, and when you use the command promt it is telling you that the directory is not empty and these are the files to delete. I'd try a different FTP program, and see if that works.
You can also log into the sever via telenet and use the command
"rm -r forum" without the quotes and replacing forum with the firectory you want to delete. But be careful! if you were to put in the wrong directory there, all your files will be gone, and it doesn't ask for confirmation when you type that in. I'd really try a different FTP program first.