To delete a distribution list, login to the MSPControl and click on Distribution Lists,
or go to Organization > Exchange > Distribution Lists.
You will see all Distribution Lists. If you have many, it might be a good idea to use Search form in the right to find the one you need. You can choose whether you want to search by Display Name or E-mail Address.
Once you found the list you were looking for, click delete icon in the right.
Confirm the action by clicking OK.