Close the application and use the Add or Remove Programs feature. If you use Windows XP or below you can go to Start > Control Panel > Add or Remove Programs. In the Currently Installed Programs box, click on the program and then click Remove. If you have Windows Vista or above you need to go to Start > Control Panel > Programs > Programs and Features. Select the application and press Uninstall.
If it doesn't work, you can use Revo Uninstaller. Even if it can't uninstall the application normally, it will force it to uninstall by wiping out all traces of its presence from the system.