On a US keyboard, the delete key is at the top right, just below the eject key. It says "DELETE" on it.
I suspect, though, that you are not using a US keyboard; the key is probably in the same place, but it may have a symbol on it instead of the word, maybe ⌫. It's the key that Windows users like to call "Backspace," even though it doesn't just backspace, it deletes back.
On my version of iPhoto, the delete key moves selected images to iPhoto's trash.