What you need to do is to "Take Ownership" as I stated in my previous reply.
Taking ownership of system files or folders in Windows 7 or Vista is not a simple task. Whether you use the GUI or the command line, it takes far too many steps.
Thankfully somebody created a registry hack that will give you a menu item for “Take Ownership” that will handle all the steps for you.
Here’s what the new right-click menu will look like after installing this registry hack.
Install
Download and unzip the files contained in the zipfile. Double-click the InstallTakeOwnership.reg file and click through the prompts. No reboot necessary.
Download TakeOwnership.zip
Do this and you won't have any problems getting rid of the photos in the Wallpapers section.
I use this tweak to delete entire Wallpaper "Scene" folders because I use my own custom Wallpaper folders and the ones supplied by Windows 7 are pretty lame, in my opinion.