The question(s) is though... firstly, how do I delete the games I don't want?
The R4 card has a little memory card inserted in it. Remove that memory card, place it in the adapter thingummy. Plug that into a computer. After a few seconds, it will appear as a new disc drive. Simply delete the files you don't want. The file names may not clearly indicate the games they contain.
And secondly, how do I download new games and from where?
I guess I'd probably search the internet for terms such as "DS" and "ROMs", possibly... You may or may not notice most file names begin with a number. This will help you to match games to file names in future.