Go to Setup > Run Reports > Event Proxy Bids. Select the Event (Lane) that the proxy bids are in. Find the Proxy Bid in question, copy the OfferID# on the far left hand column. Return to the Home Page. 

Go to Setup > Run Admin Tasks. Select Remove Bid, enter the OfferId then click Submit.

You will then see "Successfully Executed Task" on the top left corner.

To verify that the Proxy Bid was removed go to Run Reports > Event Proxy Bids and select the Event again, click Submit and look to the far right column labeled "Deleted" if it says True next to the vehicle then the Proxy Bid has been successfully removed.