You delete all the files that enable any programs on your computer to run. If you try to delete it, Windows will most likely bring up an error saying that it is locked by the Operating System (or if not, an error that says that the files are in use). There are ways to get around these errors, but they require a bit of command prompt knowledge. If the folder does happen to get deleted, the computer will probably still be able to start up, but most of the programs that were on the computer will simply not run because they technically do not exist anymore.
If you really want to brick a Windows Operating System, then delete the "Windows" folder, which contains all of the files required by the operating system to run. (Once again this is even harder to do while you are on the OS that you are trying to delete since the OS itself will try to prevent this at all costs, and requires that you temporarily stop some crucial services from running to do so.