You can delete a Safe via its context-menu (simply hover with your cursor over the Safe in the main menu) or delete the Safe manually. From version 2012 on, Safes are saved in the "My Documents"-folder under "Steganos Safe".
In earlier versions Safes are saved at:
C:\Documents and Settings\%USERNAME%\Application data\Steganos (Windows XP and earlier)
C:\Users\%USERNAME%\AppData\Roaming\Steganos\ (Windows VISTA/ Windows 7/ Windows 8)
If you don´t find the folders, make sure to enable the Windows option "show hidden files and folders" ( http://windows.microsoft.com/de-de/windows-vista/show-hidden-files ).