Think you just right-click it, unload, then delete it in explorer. There's an explore option in the same menu.
... Was messing with lightmass bakes and kept getting these weird splotches of blue. On other tests there were splotches of r, g and b. They seem to appear in the same spots regardless of textures or light placement, no idea what it is, might be some stupid newb issue because I'm new to UE3 though? Tried changing various settings and rebuilding in different ways, no luck, just weird.