I was having the same problem and did the following:
Make sure you don't have an open window for
Customers->Enter Sales Receipt or
Customers-> Create Invoice, etc
Selected: Banking->Use Register, then from the Select Account window select Undeposited Funds.
from there I scrolled down to the desired deposit entry and deleted it.
Note: this assumes the deposit was originbally directed to "Undeposited Funds". If it went to a different bank register I'm assuming you would have to use that register instead.
