There is no such thing as a stupid question here as long as it pertains to using NewsBin. Newbies feel free to get help getting started or asking questions that may be obvious. Regular users are asked to be gentle.
If you're using local search, meaning you're searching through the headers you've already downloaded, shift-delete should delete them from disk.
If you're using internet search, when you delete you're just deleting from the the temporary data downloaded from the search engine. It doesn't delete from the headers on disk.