I take it we are talking about Microsoft Windows?
I have just tried it, like this:
Open a command prompt in the desktop directory.
Create a folder on my desktop with atl-255 character as the name using md "alt-255"
Then I deleted it with rmdir "alt-255"
It worked, the folder was deleted.
Try again... if it does not work, make sure that you have full control permission for the desktop folder, the folder is not read-only, it is empty, and tell me exactly how you are doing it.
Edit: In fact, I've just tried to delete it from the desktop simply by right-clicking and selecting delete. The folder was deleted. No problem. Perhaps your issue is permissions or something else.