Are you trying to delete photos you put on or the stock ones that came with the nook? If they are yours, delete them with windows explorer while you have the NC connected to your PC.
You cannot delete the stock photos. (At least not without hacking the device.) The photo gallery is a weak area on the NC and many of us are anticipating an app that will allow us to access our photos by folder without the NOOK wallpaper images or other images included in the bunch. I was hoping that B&N would upgrade the photo gallery with the 1.3 software update but it was not to be. There is a current thread indicating that there will be an app available soon. (Fish Bowl? )