Sometimes when you delete a page a link to it possibly labeled "Untitled" remains in your navigation bar and you can't remove it.
Try this method:
Go to 'Edit sidebar', edit Navigation. Put a check in 'Automatically organize my navigation'. Save. The link will (we hope) disappear. Edit navigation and remove tick from 'Automatically organize my navigation'. Save Changes. The 'Untitled' link will be gone.
For a similar situation in the horizontal menu, More actions, Manage site, Site layout, Change site layout, remove the check mark for horizontal navigation, save everything, go back in and put the check in for horizontal navigation and rebuild it.