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This simple walkthrough shows how to delete files from the My Downloads folder under my files in the Nook Color Library.
First connect your Nook to your computer using the special Nook USB cable. The ∩ cable light will turn an orange colour and the blue USB Mode dialog will appear on the Nook screen. On your computer select MyNookColor in the Finder window, and open the My Files and My Downloads folders. Select the files you want deleted, in the example screen shots above I select four files in this folder for deletion. My Downloads also permits you to transfer PDF and other compatible documents to this folder from your computer as well. Ensure to properly Eject the Nook in Finder.
NOTE: I inadvertently hit the power button on my Nook whilst creating screen shots for this tip, and Mac OS X (Version 10.6) automatically ejected the device. This is not a recommended operation, but is interesting to know nonetheless.
The final screen shot shows a view of the My Downloads folder on the Nook.