Alternatively, you could delete the GPO itself. This is a far less common scenario, but sometimes you just need to do a little bit of AD cleanup. The process for deleting a GPO is the same: simply right-click on it and choose Delete, but the location where you are making that deletion is different. When deleting GPOs, you drop down the Group Policy Objects folder, and accomplish the deletion from there. This ensures you are deleting the GPO itself and not just a link to it.
It is really smart to double-check the GPO's Scope tab before deleting any GPO! Here you can see any links that might still be active. This helps to ensure that you aren't deleting a GPO that is being used by another administrator in your company. Note that deleting your cubicle neighbor's important GPO could result in you having to take said co-worker out for a beer after work.