Sony PictureGEar4lite

I am unabale lo Delete Images from the Preview Screen. The "Delete" button under "File", and the Delete button on the menue bar are dimmed even after i select a photo. The Help instructions tell me to simply Select" the photo and select Delete under File or from the Menue bar.
I am using a Sony Digital Handycam Cam Croder.

I ahave the feeling that it is something simple that I am not doing.
Gungadin