I finaly figured out how the problem started in the first place.
When you Create a new file based project and choose a location and then add a project name this project name becomes a folder where the stuff is put in.
Project Name: Sitefinity
All files will be put into w:\test\sitefinity
So when you delete the project stuff that might be simply under w:\test is not effected.
This is what happend to me
a) I did create the folder w:\test\sitefinity in the files system.
b) I did choose the location w:\test\sitefinity
c) I adde the project name sitefinity
d) now I see that this would create another folder w;\test\sitefinity\sitefinity
e) I delete the sitefinity from the Location path
AND the Path is amended the Project Name no longer works as folder so all the stuff ends up in w:\ and then if you delete this project everything from w:\ is gone.
So a given ProjectName will create a folder unless you change the path. Then it will no longer create a folder putting all the stuff in the root of the choosen location.
Hope Telerik can see what is happening here.