Personally I would install ES File Explorer (free from Play Store). It's a much better file manager than the one pre-installed.
You can delete with the installed file manager though. Navigate to the file and press menu button on remote. Then choose 'operation' - 'delete'. Mouse middle button works same as menu button if you're using a mouse.
You can also delete from Himedia Media Center. Again, find the file, press menu, and select 'operation'.