Please Note: Since all posts have to be assigned a category, you may only delete a category that has no posts assigned to it.
Step 1. Select 'Posts'
Step 2. In the top right corner select the 'Post Categories' button
Step 3. Once there you will see the option to delete categories
NOTE: In order to delete a category, all posts in that category must be removed from the category you wish you delete. This is so that posts in the category deleted won't be unintentionally deleted as well.