Use Group Policy Preferences' "Folder" items to do this.
Folder preference items allow you to create, update, replace, and delete folders and their contents.
Create a new Folder preference item
Open the Group Policy Management Console. Right-click the Group Policy object (GPO) that should contain the new preference item, and then click Edit.
In the console tree under Computer Configuration or User Configuration, expand the Preferences folder, and then expand the Windows Settings folder. (you probably want User Configuration for the folder in question).
Right-click the Folders node, point to New, and select Folder.
In the New Folder Properties dialog box, select an Action for Group Policy to perform. Since you want to delete the folder, set it to delete.
Enter folder settings for Group Policy to configure or remove. There are several options for the delete action. Things like deleting the folder if it also contains files/subfolder (recursive delete), whether it removes read-only files, etc. More information on the options is available in the link, and in the GPP help.
Click the Common tab, configure any options, and then type your comments in the Description box.
- Click OK. The new preference item appears in the details pane.