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You have to delete save games manually since there isn't an in-game delete utility. The exact "how to" depends a bit on your OS and country version but what you want to do is...
1. Open Windows Explorer or click on "My Computer".
2. Navigate to the folder where EU2 is installed. On most versions of the game it's C:\Program Files\Paradox Entertainment\Europa Universalis 2 but if you're using the Strategy First release then the default location is C:\Program Files\Strategy First\Europa Universalis 2. I'm not sure about all of the international versions...
3. Save games are stored in the \Scenarios\Save Games sub-folder. Each save has two files (filename.eug and filename.eug.cfg). Just select the games you want to delete and then press the delete key (or File-->Delete) as you would with any file you want to get rid of.