To echo Andreas, deleting a lot of files in Windows always take forever. Just use the cmd prompt. If you aren't comfortable in DOS, there are programs available to delete mass amounts of documents. Also, don't put them in your recycling bin when deleting them. Select your files, and hold shift when you click delete. It will permanently delete them and save you a ton of time.
Finally, I've found selecting a league within OOTP and deleting it from there saves a ton of time. You might try that method going forward.
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