See of can you right-click it, then with the mouse button held down, slide the cursor down to delete. If a menu doesn't show up with the right click, let go, then do it again with a left click while holding down the Control key.
I find it difficult to belive that doesn't work either!
Have tried it on two machines - one Intel, other not - and it doesn't do it on either. I admit to not yet being fully converted to Mac from PC's altho' working hard on it but can't think what I could possibly be doing wrong.
plists (preferences lists) to the desktop. One or more may be corrupt. iTunes will create new plists when it starts. My machine and its iTunes setup creates three, but it's a G4. Yours may have a different number. (Plists are text files. You can open and read them using TextEdit.)
Removing these plists and the creation of new ones will not affect your playlists. Restart iTunes and go through the setup routine, then try to delete the station again. If nothing changes, quit iTunes and put the old plists back, which will return the settings to the way they were.