I've been hunting for an answer to this issue for a little while but since there are not any postings directly related to it, I thought I'd post the solution here for those on a similar search.
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THE PROBLEM
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My host offers an "automatic installation" of WordPress (awesome!) and installs dozens of themes as part of the basic set-up (also awesome!). To keep things clean, I like to go through & delete all the themes that I'm not using; but some themes cannot be deleted -- specifically: Artemerging, Copyblogger and Pressrow (not awesome).
Whenever one attempts to delete them, a "Directory Not Empty" error is displayed & the folders remain.
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THE SOLUTION
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To be able to delete these, you need to force your FTP software to show hidden files (most will be default, but some corrupted files still won't show - so the software has to be forced to display them anyways).
In my example, each of the above themes had hidden .DS-STORE files that kept them from being deleted.
I hope that this saves you a few hours if, like me, you've been attempting to keep your directory listings nice & clean.