How do you erase saved files?

Just overwrite them. Choose an already saved file, then press save again and it'll get overwritten.

Otherwise, go to the installation directory. You'll notice six SAVE# (# from 0 to 5) each one corresponding to a savegame. Delete everything inside the folder corresponding to the save and you're done.

so delete EVERYTHING?

Let's pretend you want to delete the first savegame (the top-left one). You just have to go to SAVE0 folder, open it and delete eveyrthing inside. You then run the game and the savegame will be gone.

Simple as that.

If you want to delete your character in Save slot #1, go into the SAVE1 folder and delete everything in it.