You can't delete a dashboard while its published so you need to remove the publishing first. To do this open Dashboard Designer, select your Dashboard then select the Publish action. On the dialog that appears if you have the "Publish to Everyone" tickbox enabled simply untick that and press OK. If its not ticked then you need to go through the dropdown of Groups, Roles and Users and remove any that have the dashboard published to them.
Thanks Stu. Worked for me.