You can't do this through windows media player.
What you have to do is
1. Click on my computer (should be on your desktop)
2. In the removable storage devices (or devices with removable storage) section, select the one you think it your music player and if it gives you the option (which it may not) select open folder to view files.
From here you SHOULD see all your songs in the mp3 format. L
3. To delete, right click on the name, hit delete
4. It will ask you if you want to permanently delete the file, say yes.