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.