Can't be moved to Trash because it can't be deleted

I’m trying to use the WD as a drop and drag drive, because I hate the Time Machine concept. I have some files to remove because i want to use it as an iPhoto backup. When I try to trash the files in there, it says - 'The item “XXXX” can’t be moved to the Trash because it can’t be deleted." Please help. I don’t get it. 

If it makes a difference. I have a desktop intel core 2Duo and use Snow Leopard.

What type of file are you trying to delete? Also make sure that no application is using that file.