Maybe you done what I just made : remove a folder which was in your Finder sidebar. Now you can’t remove from it.

So here is the solution which require Xcode installed.
In your terminal do

open Library/Preferences/com.apple.sidebarlists.plist

Or open this file manually.

You should have « Property List Editor » app to do this.

Open each entries to find what you want under Root » useritems » CustomListItems. Try to open each item and check the name of the folder. When you found the correct entry, delete the « Item x » and save the file.

When it’s done, just restart Finder.

killall Finder

Or just make option+click on Finder’s icon in your dock, then Relaunch.

It’s that simple :)