The only way seems to be to go into your Favorites folder and delete items from there.
Go to 'Start > Search' and search for 'favorites' (Remember to use the American spelling!). Double click on the folder icon. Now you can see the contents of the folder and you can delete items in the same as you would anywhere else on your computer.
If you're not familiar with 'multi-selecting' items, here's what you need to know:
To select a continuous list of items, click on the first item and then hold the shift key down as you click on the last item.
To select a group of items which don't form a continuous list, click on the first item, then hold the Ctrl key down while clicking on additional items.
When you've selected a group of items which you wish to delete (so that all of those items are highlighted) right-click on any of those items and select 'Delete'.
Chris