Got a USB External HDD, formatted as FAT32 cannot delete some files off it

I have a backup HDD that I use, its formatted as FAT, so I can use it on my Mac Leopard and a Win XP machine. All works fine.
However when in Leopard I try to delete certain folder/files, it pops up and asks for my Admin username and password, type in in, you hear a "clunk" as if its going to trash, but doesn't go and stays on the USB HDD. Not all files/folders do this, some go no problems, other not.
I have repaired permission on my Mac HD, verified the USB disk etc, but nothing.
how can I delete some folders off please
cheers

no one please? I cant seem to crack this one, its frustrating...

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