The script posted in this article should come with a big warning: "The xp_delete_file procedure is undocumented and therefore unsupported!".

Here is what a MS employee (Terrence Nevins, SQL Server Program Manager) has to say about it: "The stored procedure was never intended to be called by an end user and the chances that you could ever be successful in having it do what you intend are almost zero. I took a quick peek at the implementation we are using and it takes some very specialzed arguments for a very specific task. [...] We don't document this XP or promote its usage by anyone for very good reasons. Most of all, they can 'go away' from release to release."

Source:

https://connect.microsoft.com/SQLServer/feedback/ViewFeedback.aspx?FeedbackID=255121

Razvan