You can delete them on the device using your options button when in Collections. The books will not be deleted only the collection. OTOH you can ignore the Collections alltogether if you like and browse your books sorted by author or title.
Maybe now that you have figuered out the obvious options it is the time for you to have a glance in the manual and find out about the tricks and possibilites
As for getting your files into Calibre just drag & drop in the Explorer window.