You need to first ungroup the data. To do this, double-click on the layer icon in the upper-left corner of the graph window. (The layer icon is the small gray box that has a 1 (for layer 1) inside it.) The Layer 1 dialog box opens after double-clicking on the icon.
In the Layer Contents list box, data plot groups are prefaced with a "g" and then the group number. From this list box, click on the group that contains the data plot you want to delete. Now click Ungroup.
You can now move the desired data plot out of the graph window by clicking on it in the Layer Contents list box and then clicking the Left Arrow button.
Alternatively, if you want to remove the data plot from the layer and remove the associated Y dataset from the worksheet, you can select the data from either the Available Data list box or the Layer Contents list box and click DELETE.