Only shipments in 'New' status can be deleted. IF you go to Manage>Shipments, hover over a shipment in new status, you will see the trash can icon next to the pencil icon on the far right of the grid.
Note: If the shipment is in any other status besides 'New' and you wish to delete it, you need to click on the shipment, go to quick actions and update the status to 'New'. However, if the shipment has already been tendered or assigned, best practice would be to go into the shipment first and unaward or unassign the carrier before updating the status and deleting the shipment.