I had a similar problem earlier today. Accedentally tried to upload a directory to my ftp account, stopped it before it got too far and couldn't delete the directory because it kept saying it wasn't empty (even though it looked empty)
I used telnet to remove it.
Not sure if you know how to telnet, so apologies if this is unnecessary to describe.
Go to start/run... type in "telnet yoursite.com"
Log in navigate to the directory in which the rogue directory is hosted.
For example, if the directory is mysite.com/monkey, type:
rm -r monkey
Hope that helps!