This issue can occur if you follow steps similar to these:
1. In the Dynamics CRM Client for Outlook, right click on a CRM record (For example Contact).
2. Choose Follow Up to add an Outlook Follow Up item to the ToDo Bar.
3. Next, switch to another Entity like Accounts or Opportunities.
4. Attempt to delete the Follow Up item from the ToDo Bar.
The following error will occur:
"The folders you are trying to change do not support this operation. Could not complete the operation because the service provider does not support it."