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Click on photos > albums > the album you want to delete > click on the circle button with 3 little check marks > click on the setting button with 3 dots > select all > click on the trash bin icon
That should delete the album
Yep! _yankees_ has it correct!
But...if you are trying to delete an album and it doesn't have those options it means it is stored in a cloud area...like...Skydrive, Facebook, Twitter, etc. In that case you have to go through the place it is stored to delete it.