If it's an actual thread you started that you want removed, it can be done by asking a moderator, but it needs to be done before anyone replies I believe. If it's just a reply that you made that you want to delete then click "edit post" and hit the delete button, then another thing will pop up that looks like this-
Delete this post in the following manner:
Delete Message
Select the appropriate options and then click the Delete button.
click the little circle and your done, however if someone has already quoted your reply, then that quote will stay even if you remove your reply.