When you press the Delete button on the Administration|User Groups screen, a confirmation window will appear.

If the selected Group has no members and can be deleted, the window will simply ask you to confirm the delete. Press OK to confirm or Cancel to abort.

If it has members, the text will be:

xxx has relationships. Are you sure want to delete?
This operation cannot be undone.

(where xxx is the name of the Group you are trying to delete). Pressing OK will delete the Group, Cancel will abort.