How to remove unwanted folder

First time user here.....

I have recently had some "junk" appear and thought I have taken care of the problem. It appears from what I researched that it probably started when my daughter clicked on a bogas "Update Active X" link after trying to view a video. It seems that Windows Defender has helped tremendously. I still have a background and internet link on the desktop when I logged in (Windows XP). After accessing the properties tab I located the folder and it's files. It was listed as: C:Windows/privacy_danger/images/space. The folder did not contain any uninstall files. After more researching I got to this statement from a Microsoft Windows internet page:

Note: If you find a folder for the program that you want to remove, but you do not find a remove file to remove the program, do not delete the folder or the contents of the folder. If you delete the folder or the contents of the folder, you may adversely affect your computer performance and operation. For example, Windows may not start, programs may not start, or programs may stop running.

It tells me what not to do but not what to do to remove this folder and its files. Any help?

I have also tried cleaning up and clearing unecessary stuff. I have a couple of folders in the "Add/Remove Programs" that I am not sure of. I know some programs are parts of other programs. What is the best way to find out the source of the questionable programs?

Thanks for any help I can get.