I've been experiencing the same problem on all my FAT32-formatted external drives, and have figured out a way to fix it. First you need a Windows machine (or virtual machine, which is what i used -- i have Windows XP running in a Parallels vm) to connect the drive to. Once connected, go to the Start Menu, Accessories, bring up a Command Prompt, and go to the parent directory of the locked folder. In my case, the locked folder was "My Documents", so we'll use that as our example.
Type the following at the command prompt:
1. attrib "My Documents" (notice it shows an 'R' for read-only)
2. attrib -r "My Documents" (this will remove the read-only attribute)
Now if you reconnect the drive to your Mac, you'll see the folder is no longer locked.
I tried everything I could to remedy the problem using Mac utilities, but even root user couldn't touch the folder. This solution worked perfectly for me, though -- hope it does the same for you. Good luck!