To delete a song

Touch and hold a song in a Music Library list. In the Context menu that opens, tap Delete, then tap Yes.

OR

On the Playback screen, tap (or press) the Menu Key > Delete > Yes.

You can also delete music files from your phone (or the microSD card) when your phone is connected to the computer. To do this, browse for the music files you want to delete then delete them from the folder.