I've deleted photo's by deleting from iPhoto on the computer then re-syncing to iPhone. Whatever you have in iPhoto will transfer to iPhone & visa-versa.
do you mean on your computer... if so then unplug your phone (disconnect via itunes), close itunes and reboot, the computer thinks the folder is still in use. It wont always happen but it can glitch like that
Do you mean on your iphone
goto mycomputer and look for your iphone go a few folders deep and you will see you picture file. just delete it from explorer