I have found a Magento extension (or module if some might call it) that allows you to delete orders and it is totally free.

The catch? This module/extension only orders that are without Invoice, Shippment or Creditmemo could be deleted. You can only delete Cancelled Orders. So~ you still have to cancel the order before deleting it or it will prompt an error “Please cancel your order before delete it“. Why only Cancelled Orders? Because deleting a complete order breaks links with invoices and shipments and could create problems along the way.

I know almost all of you knows how to add a new module for Magento using the Magento Connect Manager.  The extension key is:

magento-community/BoutikCircus_DeleteOrders

what to do:

1. Sign into your Magento store admin
2. Navigate to System > Magento Connect > Magento Connect Manager.
3. Paste in the extension key and click “Install”.

You can also visit the  delete orders extension in the magento site.