Check out the help section "Generated code - Using the entity collection classes, Adapter" towards the bottom is this:
Deleting one or more entities from the persistent storage
If you wish to delete one or more entities from the persistent storage, the same problem as with updating a set of entities appears: you first have to load them into memory, call Delete() and they'll be deleted. To delete a set of entities from the persistent storage directly, you can use the DeleteEntityCollection() method of the DataAccessAdapter object to achieve your goal. This method works with the objects inside the collection and deletes them one by one from the persistent storage using an own transaction if the current collection isn't part of an existing transaction. (See for more information about transactions the section Transactions).