Exercises can be deleted via Administration - Configuration - Exercises
This will take you to a list of all your exercises.
PLEASE NOTE: Only exercises that are not part of any programs will be able to be deleted. If they were a part of an exercise program you will not have the option to delete them.
Click the red trash can icon to delete the exercise:
Confirm the deletion after the following pop up window appears:
Once the exercise is deleted the following message will appear: