You cannot delete an order from your admin area.
However, you can
archive the order so that it does not show up under your "Active"
To archive an order, you will need to click on "Orders >
Check on Orders" from your admin area and then click on the "Find
Orders" button from the next page.
You do not need to fill out anything
on the form, just click on the button.
From the next page, you can
click on the "Archive" link towards the very right of the orders that
you would like to archive.
By doing this, you are not actually deleting
the order, nor are you processing it in any way.
However, you will be
getting rid of it from showing up under your "Active" orders.