Exactly which folder is it that you're trying to delete? And where is it located on your disk? Meaning, is this folder located outside of your User folder? Is it located inside the System or Library folders?
When you created the dmg (and you did selected the encryption option, right?), you probably forgot to uncheck the box that said "remember password." Open up the Keychain application, find the name of your dmg in the keychain list, and delete it. Now when you double click the dmg it will require a password.
When you see the deleting error, take a screenshot and upload it to the forum. To take a screenshot hit apple-shift-3 (or command-shift-3 if you're using a newer keyboard), and the screenshot image file will show up on your desktop.