The error message tells you what the problem is. The directory isn't empty. If you first delete any files that it contains, you'll be able to delete the empty folder without a problem.
If you're absolutely sure that you want to delete the folder as well as anything it might contain (both files and folders), you can use the rm command with -r, to recursively delete it all at one time. If you're not entirely sure, that can be very dangerous, as such a deletion cannot be undone.
