This seems such a basic silly newbie question, but I can find no reference in the manual (Vegas 4) to deleting a project. Sure I can delete it in windows but that will not remove all the media files etc.
When you start a new project, create a new folder for it. Store all the files that you need for that project in that folder. When you're done, delete the folder and it's all gone.
If you go to view>media pool> you will get a list of all media in project. You can then select, remove from project and delete as you desire. I usually try to set up individual project folders for each project, but sometimes I screw up and need to go to media pool to find out where files are stored.