How to delete a module from the Modules menu?
The module uninstall page in Drupal 6 is at http://mysite.com/admin/build/modules/uninstall.

For Drupal 7 it's at http://mysite.com/admin/modules/uninstall.

Once you disable a module using the main modules page, visit the uninstall page and you'll be able to safely uninstall. After that it's just a matter of deleting the module folder from your server, and you won't see it in the module list any more.

Whatever you do, don't just delete the module folder without disabling/uninstalling it first, or you could easily wreck the site.