In your Zune software, go to the Device tab at the top. From there, just go to Videos, Pictures, and Music and you SHOULD see them listed there. Just delete them.
If not you can go to the folders they are in (i.e. the Zune folder) and just erase them off your computer.
If all else fails, 'remove all content' from the Zune and then put your stuff back on.
HTH