If you want to delete ALL your saved games, go to the SH4 folder in your computer's "My Documents" folder, open the "Data" folder, then open the "cfg" folder. Within that one are two more folders, "SavedGames" and "RichSavedGames". By deleting all entries in
both folder you delete all saved games. To delete one or more saved games from within the game itself, use the Save choice from the main menu; I don't think you can delete from the Load Saved Game choice, but I've been wrong before!