- Open the browser
- Tap menu, then bookmarks
- Depending on your flavor of Android, either press menu and delete, or long press on the bookmark itself and choose delete
- Poof. It's gone.
This is permanent, so make sure you really want to delete it, and that you've chosen the right bookmark.
This also will erase the bookmark from the HTC Sense UI bookmark widget, so keep that in mind as well.