If this is the same extension that I have seen installed one client's site then it should have a config.xml file included in its /etc subdirectory (NOTE: not the global /app/etc but somwhere in the /app/code/community/ folder). In this file you will find definitions for all the additional statuses. Just comment out the ones you don't want. You can also change the ones that you leave so that they are better suited to your needs.
CLARIFICATION:
Here's a piece of my config.xml:
<config>
<modules>
<Mage_Sales_Community>
<version>0.1.2</version>
</Mage_Sales_Community>
</modules>
<global>
<sales>
<order>
<statuses>
<!--Complete Status Descriptions-->
<complete translate="label"><label>Dispatched</label></complete>
<!--Cancelled Status Descriptions-->
<canceled translate="label"><label>Suspended</label></canceled>
<!--<canceled_discontinued translate="label"><label>Suspended - No stock</label></canceled_discontinued> -->
<!-- /* Additional custom statuses will go here */ -->
<!-- Format of a status description is <name_of_status translate="label"><label>Name of Status</label?</name_of_status> -->
</statuses>
</order>
</sales>
</global>
</config>
Note that complete and canceled have a different label defined. There is also a canceled_discontinued status, but it is not used as the whole entry is commented out. If the entry stays on the order comments dropdown after you have commented it make sure that you have refreshed the cache...