well, first you play a game with the player the when you get back to home (where you can see your next game and record)then press esc at the top left corner of your keyboard then there is a quit or exit button and there's a save one if you press on save then it will have an option of save or delete press delete the other one you just press it.
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On PS2 you can delete from memory card or delete through the options in the main menu.