I don't know about deleting the actual files on your computer via Windows Explorer, but you can delete the save files in the game itself.
Up in the top right corner in the main menu there should be a little plus sign for a new save file and right next to that a little save icon called, "Load Save".
Click the "load save" icon, and if you hover your mouse over one of the listed save files a little "x" should show up on the right side of the listing. Click that "x" to delete the save.