There is no such thing as choosing the wrong character. You can beat the game on both of their files. But if you really want to get rid of the older file just start a new file and save over it. Then when you create your new file you'll have the character you wanted (though it doesn't matter) and the old file gone. That simple. Im sure there is a way to delete files but I haven't needed to, I just overwrite! Good luck.
Greggory M.