Lol, glad the calendar issue figured itself out.
Assuming you mean a calendar entry in the phone, you have a few options (you could also use the Calendar app on a computer). One option is to view an individual event and hit Menu > Delete:
If you want more mass-delete options, you can use the overall views. If you're viewing by Month, going to Menu > Delete brings up all events that month, and you can check mark which ones you want to delete. The same with Week view (delete ones that week), Day view (delete by that day), and Agenda (delete all).
I've learned that one of the best things you can do in an app is hit Menu and see what options pop up. And then probably browse through the various options, especially the Settings menus. You'll often learn of features you didn't know about this way, and make the app more to your taste.
"Anything" is a rather broad word. : P I'll cover a couple though, feel free to ask about more.
For deleting actual files, I believe Samsung did include a File Manager in its preloaded apps, but I've honestly never used it. I chose to use the app
Astro (AppBrain is another wonderful app, other than another place to find apps, it can keep a list of the ones you've installed in case you have to factory reset the phone or something). It is free, although it has a Pro paid version. In there, you can tap and hold a file or folder and hit Edit > Delete. Keep in mind that this app only views files on the SD card - to view ones on the phone itself, you must be rooted and use an app like Root Explorer.
Far as deleting apps go, you have a few options. You could use the default Market app, and then go to Menu > Downloads > the app you want to delete > Uninstall. Note that the Downloads screen is also where you can look to see if any need updated.
AppBrain can also delete apps by going to Manage And Sync and hitting the red X next to the apps. Note that it WILL show preloaded apps that cannot be uninstalled, so if you get a message about that, that's what happened.
Another option is to be in your homescreens and go to Menu > Settings > Applications > Manage Applications > the app you want to delete > Uninstall.
However, these options only delete apps that you have installed, they cannot affect the preloaded ones. You will need root if you want to uninstall these - there are topics I can link if you are interested in that route. You may also download a launcher to use instead of TouchWiz - the main two are
LauncherPro and
ADW - and choose to hide these from the Application list. They won't be uninstalled, they just aren't cluttering up screens.