This problem has plagued me for months. I'm hosting about a half-dozen Wordpress installs and a couple multi-user Wordpress instances on an Windows IIS 7 server. They work fine except that from time to time an update fails. It spits out a message like Folder could not be removed. I log into the server and sure enough the folder is there, but I can't delete it even from RDP. The folder is locked.
In about 15 to 30 minutes I'm usually able to remove the folder and reinstall the plugin. I couldn't figure it out. My permissions were fine. IIS_USRS has Modify, Read, Write, Delete permissions to wp-content.
Then, by chance, I stumbled onto an article about WinCache. ( IIS page and SourceForge page.) I update my version to 1.3.5 through Windows Platform Installer (direct downloads are also available) and BAM problem solved.