To delete files, select them in file panel and then go to File(s) > Delete. You can also use file context menu or click respective toolbar button.

Optionally a confirmation message will appear. After your confirmation the deletion will start.

Note that with SFTP protocol, WinSCP needs to delete each file individually, including files in subdirectories. For the reason the operation can last quite long. If you frequently delete complex directory structures, you may want to setup appropriate custom command.