To delete files, select them in the file panel and then go to File(s) > Delete. You can also use the file context menu or click the 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 this reason the operation can take quite some time. If you frequently delete complex directory structures, you may want to set up an appropriate custom command.