It can be found in the file “header.php”. Go to the editor in your admin panel (it’s under “Appearance” in the sidebar), and find the file in the list on the side of the page. The code is at the very end of the file.
Now, there are a bunch of options for the template tag that makes the list, which can be found here. Or you can remove the list by putting comment brackets around the code. One in front like this:
Might be easier to use a plugin like Exclude Pages « WordPress Plugins so you don’t have to modify theme source. That plugin gives a tick box in the page editor to exclude any page from the main navigation produced by wp_list_pages.
It’s generally better to change a theme source rather than add a plugin, especially for something as simple as excluding a page.
While it’s easier to go into WordPress admin to make changes, it takes more time to install a plug-in, takes up more space on the server (however minuscule), and can cause conflicts with other plug-ins.
It boils down to personal preference, if you’re in the process of learning one or the other: learn to be more plug-in independent.