how do i delete it
It's perfectly safe to remove that feature. All the sidebar is, is a tool to make certain applications easier to access. The one reason I took it off when I had Vista was because, it takes up a lot of resources and can make your PC run slower. Also, for those who don't use the sidebar often, getting rid of it helps free up desktop space for more icons and such.
If you don't want it to come up on startup either, right-click the sidebar icon on the tray, and go to Properties. From there it should ask if you want to load on startup. Just uncheck the box and it will no longer come up each time you load Vista.
There is an x at the top i believe and yes it is perfectly fine to remove a gadget & or the sidebar.