I tried your script with my own setup and received the access denied too. I changed it to what I put below and it worked for me. Obviously weather you can do the delete or not is based on your credentials and setup on the server side.
open ftp:user:password@domain.dk
option confirm off
option transfer binary
rm c:\temp\hej.txt
exit
Can someone tell me whot is wrong whit this:
option batch on
option confirm off
open ftp:\\user:password@domain.dk
option transfer binary
put -delete C:\TEMP\hej.txt
close
exit
i get an Access denied messege, And i dont now why.