Is the "Delete" key on your keyboard broken? Locate and select the files on your hard drive you wish to delete, (project file, video file(s), etc) and press delete. If they go to your recycle bin, be sure to empty it.
Let me guess, you were looking for a way to do it in Premiere? There isn't one. At least not in V6.5. After you delete a project, the project name may still appear in the "recent projects" listing but if you try to open it, it won't.