There are a couple of strategies that you could do for this, I am assuming that you are using WatiN, with Nunit or VS Unit tests to run your tests.
Use transactions
An approach that is used when unit testing is that you "wrap" the whole test in a transaction and at the completion of the test roll the transaction back. In .net you can use System.Transactions for this.
Build a "stub page"
Build a page in your applicaiton that uses the existing business logic to delete your data. This page would need to be secured and ideally not even deployed in to production.
This is the approach that I would recommend.
Call a web service
Develop a web service, or call one directly from the app tier of the applicaiton to perform the delete. You will probably need to develop this as well.
Clean up directly
Build some classes in your test code to access the data and clean it up.
With any of these you will need to cleanup before and after you run your test, i.e. in the test setup and test cleanup methods. The reason to do it twice is that you should assume that your test has failed and not cleaned up properley.
Use Linq to Sql AFAIK if you are using Linq to sql, it works in-memory and wraps the whole update in a transaction for you automatically. If you simply don't call the SubmitChanges(); method then you should be fine, but I haven't tested this myself.