If your cards are locked you have to unlock them first and if there being referenced you will need to shut down the program that is doing the referencing first.
I always just delete them using P2CMS before moving the rest of the folders into the trash bin. P2CMS doesn't seem to care if they're locked or not, and it's reasonably fast.
It might be because it's "locked". Your gonna have to "unlock" it first. To do that just highlight the mxf and go to "file" and "get info". And under the tab "General", just click on the box next to "lock". Once it's "unlocked" you can trash it like an empty bag of chips.