Welcome to Android Central! The folder is probably from your Google+/Picasa cloud albums. If you're using the stock Gallery app, you can't delete a cloud album. You'd have to use the Photos app (the one with the pinwheel icon). Or you could go to your Google+ albums on the web and delete the album there. If you still see the folder in the Gallery app, you can either tap the Menu button and then Refresh, or you can go to Settings>Apps>All, select Gallery, and tap Clear Cache/Clear Data (which only clears out the database, not the actual photos). Then when you open the Gallery again, it will take a little time to repopulate with the photos stored on the phone and the ones in your cloud albums, which shouldn't include the folder you deleted.