Pretty unintuitive.... pick the station from teh list of favorites. Look at the left side of display (the part that displays the station / song name) and look for the star in the upper left. Untick the star and it'll disappear from the favorites.
BTW, favorites doesn't have to be stations... you can make a USB folder a favorite adn it'll play songs from that folder. Just check the "star". Word to the wise thogh... each time you select a USB folder from the favorites list, it turns off shuffle mode.