I asked in the Team Foundation Server MSDN forum how to delete a Work Item and got the official respose that you can't and it will be on the feature request for the next version.
http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=231427&SiteID=1
A hilarious statement for a product which has not been released yet.
Anyway, here's a URL to a blog where a guy figured out how to do it if you directly against the database. It makes me nervous and I have not done it yet, but at least there are options:
http://www.vsts.php-for-beginners.co.uk/index.php?mode=viewid&post_id=17