Hi Don;
Try clicking to highlight the first clip/collection that you want to delete,
and while holding down the shift key click the final one you wish to delete.
If they all highlight, you can simply hit the Delete key on the keyboard to
get rid of them. If you cannot select multiple entries, click on the first
that you want gone, and just keep pressing the delete key to get rid of them
all.
Keep in mind that deleting clips from collections only deletes them from
showing as available in Windows Movie Maker, the file that the clip refers to
is left intact.
Take care