How do I remove a folder from the desktop that needs to be downloaded?

A folder showing on my desktop . The folder was copied to the desktop from an external drive. when I try to move it to the trash, my system password is requested, and then I get the message saying

The operation can’t be completed because “folder" needs to be downloaded.

Downloaded from where? and how to continue for removing the folder?

[Re-Titled by Moderator]

Original Title: Removing folder from desktop