That is a known bug in windows 7 that to this day has not been fixed.
When the everyone permissions are set on a folder in Windows 7 it will think it is shared even though it isnt shared.
So if a folder has "Everyone" in the permissions you will see the sharing icon, the bug is in explorer.exe itself as that is what is showing the icons and complaining when you try to delete the folder that it is shared when it isn't.
it is almost like MS tried to speed up explorer.exe by having it only check the permissions of a folder instead of seeing if it is actually shared. Why they havent fixed it yet I done know.
I havent checked to see if they fixed it in the newer version so of Windows.
Shane