How do I remove a .dll file?

I downloaded this CDA to MP3 file converter so I could get songs for a project, and it worked, no spyware or anything, but I used the free version so the files were only half-converted (4 min song was 2 min). So I go to add/remove programs, delete it, and check my program files folder to make sure it was completely gone. The folder is still there, and I can't delete it. I hit delete, asks if I'm sure, yes I'm sure, says I need to confirm this operation, hit continue, and then I get this message "Destination Folder Access Denied" says I need permission to remove this file, hit try again, window keeps popping back up. What do I do?

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