I do not have permission to delete?

Ok so have a file called .minecraft, it's a game and i downloaded the SDK gun mod, but I forgot to download modloader first. I tried to delete .minecraft and i click continue twice, and it says that I do not have permission to delete it. Its really making me mad because now I cant play it unless i can delete that. I downloaded modloader after the mod and I think thats what messed it up. So if there's anybody that can help, please do.