Just go to the Sanctuary in the save room, "activate" the save you want to delete, and there should be an option to delete it.
If it doesn't work. go to System, Storage, then locate where your Fable 3 saved games are at (usually Hard Drive), and delete the Hero save directly. Your first save is probably named "Hero 1" or something to that nature, but best to make sure first by checking it in game. For PC users, I'm assuming it's the same thing, just find your Fable 3 directory and delete the save games there.