I failed to drop a database:
mysql> drop database mydb; ERROR 1010 (HY000): Error dropping database (can\'t rmdir \'./mydb\', errno: 39)
Directory db/m
As for ERRORCODE 39, you can definately just delete the physical table files on the disk. the location depends on your OS distribution and setup. On Debian its typically under /var/lib/mysql/database_name/ So do a:
rm -f /var/lib/mysql//
And then drop the database from your tool of choice or using the command:
DROP DATABASE