Once you have a Course selected in the Courses and Groups dropdown menu, click the Lessons link in the Course Navigation bar.
Hover over the bar of the Lesson you wish to delete and click the Remove icon.
Click the Delete button.
Note: When you delete a Lesson, all of the items in that Lesson are removed, but they are not deleted from the course. For this reason, it is especially important to verify that you are deleting the correct Lesson.