Cannot delete JPEG images in Bridge

Often I convert my images from raw to JPEGs.  Later, I want to only use some of these JPEGS and delete the rest to clean up my files.  I consistantly get this message:  "An error has occurred during the delete operation.  Some files may not have been processed."  There is a big red sign with white exclamation mark and an "OK" button.  I click the OK button and the image disappears only to reappear when I reopen the folder.  I can, however, delete the same images from my external hard drive.

Kit C.