This is most likely because you are trying to remove files/folders that your OS X user account does not have permissions/access to delete. Either because the operating system is not allowing these files to be remove or because another application is currently accessing these files and therefore they are considered to be 'in use'.
You can right click on the files you cannot remove and view them in Finder. Try to delete them manually via Finder, but you will most likely get an error because of lack of permissions. If this is the case, try right clicking on the file and pressing "Get Info. From the panel that appears, you can see if the file is locked by the operating system. If it is, untick the 'locked' checkbox and then try removing the file again.