Go to 'Computer' and look for the icon for your memory stick. Double-click on it. If your photos aren't in any folders you'll see them listed straight away. If not, double-click on the name of the folder containing your pictures.
Once you've got that far you can use the 'View' options, at the top of the window, to choose you're preferred way of seeing things. ('View' might be a button with three little squares and lines, with a downward-pointing arrow alongside it; it depends upon which version of Windows you're using. If so, it's that little arrow that lets you access the various options). So, for example, you could choose 'large icons', so that you can see clearly what each picture look like, or 'details', so that you can see the dates on which the pictures were taken.
To select a single file (either to drag to another location or to delete), simply click on it. To select a block of files together, click on the first one and then hold down Shift while clicking on the last one. To select lots of individual files, hold down Ctrl while clicking on each in turn.
Once you've selected the files you want to delete, right-click and select 'Delete'.