In order to delete a filter, you'll first need to select it from the dropdown in the top menu bar.
Once you've chosen the filter you wish to delete, open the left hand panel.
Now all you need to do is click on the trash can icon and you can get rid of the filter immediately.
Note: If you are not an admin, you cannot delete Group filters. If you ARE an admin, deleting a group filter will mean no one else can use it again.