How to delete failed links from finished sitemap

Hi,
I watched the one minute vidio, and ran the sitemap on one of my sites. I can’t believe I picked the largest site, Da stupid! Anyway when the sitemap had finished I reran the failed links once more and it picked up another 200 of them out of a grand total of about 5600 links. about 2786 came out just fine.

So I wanted to delete the failed links from the list and generate/save a GOOGLE.XML file from the results.

The problem is that when I click on the failed links, the line highlights ok but will not give me the pull down list where I can select delete for the particular link.

So what am I doing wrong?

Thanks
Tris