Either go to SE03 and there choose the Unlock Objects (Expert Tool) found under Requests/Tasks grouping. You will need to provide the request number (that is to be deleted) and this will unlock all the objects contained in it and then you can delete it. Else in SE09 itself, click on each object contained in the request and click on the delete icon. The system will prompt you that the object is locked and do you want to delete from the locked list. Say yes to this and continue for each object. Once the reqeust is emptied, you can delete it.