can't delete folders in desktop/screensaver menu

i've been cleaning up my macbook over the last couple of days, getting rid of unwanted files etc. - and I'm curious to find out how to delete picture folders. for example, i click on system preferences.. then click on desktop & screen saver..

i tried going to library>desktop pictures and deleting for instance the art file, the folder is gone but the word art still remains on the list.

any ideas?