Scroll through the characters in the training set until you come to the one you want to delete, or step through the characters using the Up Arrow and Down Arrow keys (to sort the characters into ASCII value order click on the Sort Shapes button).
Click on the Clear Shape button. The character is deleted. The empty character will be ignored during neural network training and will be fully discarded next time the training set is saved.
You can also delete a character by typing 0 into the ASCII Value field. The character will not be visibly deleted but it will be ignored during training and discarded at the next save.