Apparently in Windows there are reserved names such as "COM1", "LPT1", and "PRN". If a file or folder is named with one of these reserved names, standard commands do not work. Especially if you are on an NTFS partition. I guess this was resolved after Windows 2000. I tried creating a folder in Vista it wouldn't even allow me to create a folder with that name.
I had to use the following command. It is referenced in a Microsoft KB article indicated below.
rmdir \\.\driveletter:\path\directory