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First, hold the Power button until your Mac turns off. Then, turn it on and hold the Option (Alt) key while your computer is starting, so you will see the bootable volumes. Select "Macintosh HD", so OS X will start up.
After that, open Boot Camp Assistant and remove the Windows volume. Finally, to start always into OS X, go to System Preferences > Startup Disk, and choose "Macintosh HD"