You can simply open the Holiday Lights Settings window, then click on the bulb with the right mouse button. A menu will appear with "Remove Bulb" as one of the choices.

If the "Remove Bulb" choice is dimmed (grayed) or missing, you may be trying to remove one of the bulbs that originally came with the program, as opposed to a bulb you added yourself. These bulbs (listed above the "spacer" bulbs) cannot be removed.