You shouldn't have to... The game should close to the desktop after you exit a server and force a re-download of the mods when you next start up the game and join a server... It sounds like your folder or files in the folder are being write protected and not allowing the game to overwrite them, or, it is possible you have an issue with your game installation itself... Try verifying your game files, or re-install it totally... Also check any firewall settings to be sure your not locking out the games access to do what it is supposed to do...

The game auto removes the mods files and redownloads them each and everytime you play on a modded server which is normal for modding on miscreated and is not going to change.

Check to make sure the files are not write protected like the above guy said.