If you want to remove all instances of 4 without needing to know the index:
LINQ: (.NET Framework 3.5)
int[] numbers = { 1, 3, 4, 9, 2 };
int numToRemove = 4;
numbers = numbers.Where(val => val != numToRemove).ToArray();
Non-LINQ: (.NET Framework 2.0)
int[] numbers = { 1, 3, 4, 9, 2 };
int numToRemove = 4;
numbers = Array.FindAll(numbers, val => val != numToRemove).ToArray();
If you want to remove just the first instance:
LINQ: (.NET Framework 3.5)
int[] numbers = { 1, 3, 4, 9, 2, 4 };
int numToRemove = 4;
int numIndex = Array.IndexOf(numbers, numToRemove);
numbers = numbers.Where((val, idx) => idx != numIndex).ToArray();
Non-LINQ: (.NET Framework 2.0)
int[] numbers = { 1, 3, 4, 9, 2, 4 };
int numToRemove = 4;
int numIdx = Array.IndexOf(numbers, numToRemove);
List<int> tmp = new List<int>(numbers);
tmp.RemoveAt(numIdx);
numbers = tmp.ToArray();
Edit: Just in case you hadn't already figured it out, as Malfist pointed out, you need to be targetting the .NET Framework 3.5 in order for the LINQ code examples to work. If you're targetting 2.0 you need to reference the Non-LINQ examples.