How do I delete an "aux" directory in Windows 7?

Hi all. I'm not 100% sure where to post this best (it's not IIS related), but here goes.

Basically, after installing cygwin I had the directory called aux being created. The problem is that this is a protected file name. Now, because I have this directory, I can't delete it (or even view the contents of the directory since it says that I need permissions from my account... which I am logged in as). Is there a way in Windows 7 to simply mark that piece of storage as "You know, just forget that this ever existed and over-write the contents as you see fit"?

See this http://support.microsoft.com/kb/120716