it sounds like the program might still be running in the bg but not popping up due to an error on your pc. try restarting your computer and then deleting the file and it should work just fine

im not sure why its not running, youre clicking the red dragon icon in the new folder the blue box exe creates?

sometimes games will open but be stuck minimized in the bg, it happens to me with steam games even. you can either restart your computer and try again in running it or deleting it or you can also open up your task manager and see if you can find the program running in your processes!

EDIT i read your comment a little better, im still a little groggy from just waking up. if youre getting the "cant find the folder" error, that means it did delete but your computer didnt visually delete the folder yet. restarting should make it go away. that happens to me too and its frustrating haha