This is carried out in the toolbar (and is also available in the context menu shown when right-clicking a web publish site).
If you delete a site that has been saved previously, its representation in the treeview is shown in red, and the text ‘(Deleted)’ is appended to its name.
If you delete a site that is yet to be saved, it is removed from display.
Note that Delete is not protected by an ‘Are You Sure’ dialog.