If the folder is on an NTFS formatted partition, you shouldn't write to it from Knoppix nor delete any files as this might corrupt the data. If It's a FAT32 partition, do the following steps:
1. Right click on the desktop drive symbol "hard disk hdaX" and select "mount".
2. Right click on the drive symbol again and select "actions --> change read/write mode".
3. Left click on the drive symbol to start Konqueror.

You should now be able to delete files on the drive.