You should get an "Options" menu with "Open", "Delete", "Protect", and "Info". You're not just tapping the screen, are you? You need to press and hold down the book for a couple seconds till the options menu appears. It just like holding down a word to get the definition.
Alternatively... from the main menu select "Books" then press the Menu button, then select "Delete Books", select the books you want to delete, select "Done" and "Yes".
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