Okay, I created a subfolder called 'Test' in Lightroom 3, right-clicked on it and selected 'Remove'. Went to the Pictures folder outside of Lightroom (Windows 7), and the 'Test' folder was gone. I then created a 'Test' subfolder in Lightroom and moved an image into it. When I right-clicked on it and selected 'Remove', I got a message from Lightroom telling me that the folder contains one photo and that if I continued the folder and the image would be removed from Lightroom but left on the drive. Are the folders you're trying to remove from Lightroom empty?
Mike.