Are you trying to delete the only Guest account from your computer?
If you have just one Guest account showing in System Preferences > Accounts, it can't be deleted, but it can easily be disabled. If the padlock at the bottom of the window is closed, click it and enter your admin password to make changes, then uncheck "Allow guests to log in to this computer" and "Allow guests to connect to shared folders." The Guest account is now disabled and can't be used. Click the padlock again to prevent further changes.