I found the following works if you're running Windows XP: select:
Start>Search>All files and folders. Type in the name of the project in the "All or part of the file name" field. You will get a list of the files or folders with that name. Right click on the one you want to get rid of. Now left click on "Open containing folder". Right click on the folder you want to get rid of. Select "Delete". You will have to delete a number of files in order to get rid of the whole project. Just be careful to only delete files that you created, not ones that the computer needs.