Sorry for the delay in getting back.
First point of call is to look in the Media section to see if you can spot the image - if it was uploaded then that is where it will be.
However if its one of the default header images then the first port of call is either the custom-header.php or the functions.php files and look through the code that renders the header image/banner.
Once found then simply delete it or replace it.
Deleting it from the server will leave your site with either a blank section within the header display loop or and an X indicating that the image is missing.
At the end of the day it all depends on how the image is being called in the aforementioned file(s) - once you know then you can decide the best way to remove it.
Hope that helps somehow,