You have to delete the files from within Windows Media Player itself. You can also delete them using Windows Explorer.
Here are some helpful file son deleting using Windows Media Player:
To delete files from your mp3 player using Windows Media Player 10:
http://www.microsoft.com/windows/windowsmedia/knowledgecenter/mediaadvice/0085.mspx#EDF
To delete files from your mp3 player using Windows Media Player 11:
My Directions:
1. Connect your mp3 player to the computer
2. Open Windows Media Player
3. Click on the icon of your Mp3 player on the left-hand side of the Library
4. Click on the Songs, Tracks, or other
Music Folder
5. Find a song or songs that you want to delete
6. Left-click the song once to highlight it
7. Press the “Delete” button on your computer’s
keyboard
-Tha Mp3 doctor