To delete media from the library, go to: "Site" > "Media Library" > click "delete" icon

However, it's important to be careful that the media is not being used in any of the courses. If you click delete, this message will appear:

Therefore, before deleting any media, make sure it's not being used anywhere else. After clicking on "OK" the media will be removed from the media library.
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Note: Once deleted, it will not be recovered.