Deleting a project is a system administrator task. Therefore, you do not perform it from within the Project Browser but from File Explorer.
Deleting the project folder deletes all DWG files, XML files, and the APJ file. Before you do this, make sure that you really do not need any of these files anymore. If you do not work on a project any longer but still want to save the DWG files in it, it is often sufficient to just remove the project context.