It is just a regular file to be deleted using any file manager like Windows Explore. 

When you saved the macro the default was to the same folder as the application files.  If you accepted that default path, then that is where you should find it.  Filenames end in "mac"

Only one macro file is loaded at a time.  Loading/recording a macro over an existing one will unload the existing one first.  It will not be deleted, and not overwritten.

You may want to make a macro folder with sub folders to isolate macros for different purposes, different workstations, etc.  Have a sub folder \common\ to hold macros that may be common to many users/uses.