The blog navigation comes with some default nav items that can't be deleted (minus "Blogroll"). Here is a little more detail to each part of the navigation:
Pages are automatically added to the navigation.
You can make pages show in a sub-navigation by going to WordPress > Pages > find the page you want to be in a sub-naviagtion and click "quick edit". Change the "parent" to your the top level nav item you want it under and click save.
This is a link to your RSS feed that people can then take and input into their RSS reader to follow your blog.
Your categories will automatically show up under here
BLOGROLL AND EXTERNAL LINKS
This is where you can add links to other websites (and/or internal pages as well). You can also change the name of "Blogroll" to something like "Links". To manage this go to WordPress > Links.
To delete this nav item completely simply delete all of the external links.