I restarted and the folder is still here giving me the same error when I try to delete it.
So I set my self as owner of that folder and subfolder, and gave myself full access and still can't delete.
If you open permissions on file/folder and get this message: Permissions Are Incorrectly Ordered. To delete instead the file C:\Temp\con.txt, the command to run will be: del \\.\c:\Temp\con.txt. There is an alias for the Remove-Item cmdlet called rd. However, if you plan to reinstall Cygwin it's a good idea to keep your setup-x86.exe download directory since you can reinstall the packages left in its cache without redownloading them.