You mean you selected the wrong class (Archer/Lancer/Conj) in character creation so you want to make a new one You know you can change classes after you progress far enough in the main quest story line right? It's like level 10 I think.
*edit- oh and to delete a character, just right-click on their name at selection screen.
It's recommended to level all the classes up top level 10-15 anyway, because of the cross class abilities you can.
I actually pick a class I don't want to play to start, because I can breeze through the easy levels. Then once I'm high enough to change, I can actually spent more time enjoying the class I really want to play instead of just running around playing delivery girl.
FFXI: Catwho on Bismarck: Retired December 2014
I can't understand anyone who skips the cutscenes of a Final Fantasy game. That's like going to Texas and not getting barbecue.