I see this is a very old thread, but this is still a problem as of September 2022 because Dell is factory installing this piece of crud** on their current machines, so I'm resuscitating this thread for anyone still struggling with it in 2022++.
I Googled and Googled and never found an answer anywhere but after inventing several creative new curse words-- hurled at McAfee-- I figured out a solution:
Open an elevated command prompt (as administrator)
Type: icacls "Full\Path\to\Folder" /reset /T /C ⏎
Or for example: icacls "C:\Users\TEMP-DESKTOP-ABC123.000\Documents" /reset /T /C
That doesn't delete it, but it does reset all the NTFS permissions so that you can delete by ordinary means, such as in File Explorer.
** Because McAfee pays them to. Boooo! Shame on you, Dell!!