Hi AZPaleo, To delete a cache directly from your device, select cache you wish to delete in list, press enter. Now press the menu-button. You should see a list with available actions (start, found-it, etc.) scroll all the way down, the delete option is the last option. This way you can only delete caches one by one.
When connected to your pc, go to start>my computer. You should see your gps as a storage device there. Open the device, there should be a folder "geocaches". You will find your saved caches in here, and you can delete them all at once, or just a few as you like.