You can delete songs from your player in one of two ways:
Using Your PC – Connect your player to your PC. Open Windows Media Player or Windows Explorer and select the player on the left panel (the device will show up as Player or Streamium depending on the device you have). Once the contents of the player are listed, you can delete content that you desire removed.
On the Player itself – You can use the contextual menu option to delete content from your device. Select the Menu option on your player, and use the delete function to delete the content that you need to be taken off.
After this operation completes, the content will be physically deleted from your device.