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When you try to delete media content from an SD card that's being used in a Windows Phone 8, you get a Protected Contents error message.
When you transfer media content from a PC directly to an SD card using an SD card reader, and then insert that card into a Windows Phone 8, you can't delete content from the phone, (or access the files on the phone through the PC's File Explorer window, which is the Libraries folder where you store all of your media content).
The reason for this is that Microsoft Windows adds hidden files to a media folder (like the artist jpg file, or an indexing file) to optimize functionality of the folder on the PC. The result is that these hidden files are protected, and can't be deleted on a peripheral device like a Windows Phone 8.
Re-insert the SD card into your PC's card reader, where the files originated, and then delete the files and folders.
Additionally, if you continue to have problems deleting the items from the SD card, or you get additional errors, try running chkdsk. Here's how:
To learn more, see the following article on the Windows 8 How-to website:
Use an SD card to add space.