Image and movie files can be removed from two locations: the editor editable region (the site page) and the upload folder.
If you want to remove an image/movie inserted in your page, select it (click on it) and press the Delete key. It will not be removed from the remote server, but only from the page.
If you want to remove an image/movie from the remote server:
Open the Remote File Explorer window.
Browse to the upload folder where the image/movie is stored.
Select the corresponding thumbnail(s).
Use the Delete button or the Delete option in the right-click contextual menu to remove the image/movie file(s).