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The lost.dir folder is a system folder. Its a place where the Android OS places files that are recovered during a system boot up (when you turn on the device). If you were saving files and suddenly the phone shut off, or maybe you pull the SD card while files are being written to it - the system places copies of those files there so it can try and recover them on the next boot. You normally wont find anything there at all.
It is ok to delete whatever is there, and you can delete the folder as well - however it will be recreated by the system next time you turn on the phone.
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