Hi,
The missions you create are saved in the folder "c:\Documents and Settings\[Your name]\My Documents\ShipSim2008 UserData\Custom Missions" by default.
[your name] is the name of your session in windows.
For each mission you will find two files with the name you gave to your mission followed by the filename extension ".xml" and ".png". You delete both of these files and your mission is erased.
Good luck.