Assuming you're on XP, as I've no experience with any other operating system, go here:
C:\Documents and Settings\Your Name Here\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\Save-SinglePlayer
The save files should be named the same as you named them in-game. Easy enough to send them to the Recycle Bin and clear them from there.
One thing I would like to note for everyone is that, with a lot of save files, you can get some really bad storage consumption by these folders, especially the autosave and autorecord ones. This is especially bad for those of us on a tight space budget, such as myself.
