press esc on your keyboard and type startx this will do something but load back into pimame, now press esc again and you will be in the desktop environment. Navigate to the roms and delete them. Here is a thread I started that tells you how to load roms from a USB, you can use it to delete roms too http://pimame.org/forum/discussion/1275/guide-to-load-roms-without-connecting-to-the-internet#Item_1