Did you try using \ in the filename to escape the special characters?
Something like this:
data _null_;
length filename $500;
filename = "/path/to/where/file/is/" || "_Error_Report;GOPTIONS NOACCESSIBLE;;*';*";
filename = tranwrd(filename,'*','\*');
filename = tranwrd(filename,';','\;');
filename = tranwrd(filename,"'","\'");
rc=filename('myfile',filename);
if rc then put 'Unable to make fileref. ' rc=;
else do;
rc=fdelete('myfile');
if rc then put 'Unable to delete file. ' rc=;
end;
run;
Or perhaps since it looks like it might be a folder and not a file you need to make sure there aren't any files inside of it before you can delete the folder. Also looks like the syntax for FDELETE() when deleting a folder is different than when deleting a file.