You can do it using the menu:
press <2> then scroll down to 'Games List Options', press <1>,scroll down to 'Remove Game from List', press <1>
There is also a short-cut key assigned to this:
REMOVE_GAME_FROM_LIST "DIK_Z"
You can redefine thisto use another key besides Z, and other MAMEWAH function short-cuts, in the file default.ini that is found in the \MAMEWAH\CTRLR directory.