Some programs are still using the WD External drive while you are trying to delete them.
Here is what you need to do:
a. Close down all open programs, wait a little bit longer before you open the explore windows to delete files.
If that still not working,
b. Unplug the WD external drive from the computer.
c. Re-start the computer.
d. re-plug in the WD external drive.
Now try the delete the files that you do not want to keep.