For security reasons, those particular files are setup with the "immutable" attribute.
You can delete those files, but you'd first need to unset the immutable attribute.
To do that, log into your server over SSH as root, and run:
chattr -i /home/fengxy.org/fcgi-bin/php5.fcgi
After that, you'd be able to delete that file.
rm: remove write-protected regular file `php5.fcgi'? yrm: cannot remove `php5.fcgi': Operation not permitted