You might have installed the application "Dropbox" on your Droid. This application lets you share files among many devices, PC's, Smartphones like the Droid, etc.
I find Dropbox and similar applicaiton very useful with my Droid, such as moving or syncing files across devices.
The folder shows up in the Gallery as there may be pictures in the folder.
If you use Dropbox and you delete this folder, then Dropbox will not work. If you uninstalled Dropbox from your Droid, then you can delete this folder. One way to delete the folder is by connecting your Droid to the PC, unmount the SD card, then use File Explorer on the PC to delete.
A second way to delete the folder is to install and use a file manager on your Droid. I use ES File Manager, but there are many free file managers in the Market that will serve you well.
Good Luck,
Bob