http://www.magentocommerce.com/magento-connect/delete-orders-6.html
Author Name: Rave Infosys
Author User: raveinfo
Author Email: [email protected]
This extension allows you to delete orders. Magento doesn't allow you to delete orders. You can only mark it to cancelled but you can't delete it. This extension allows you to seamlessly delete any order. We have provided three options to delete any order. 1) option to delete any order from the order list page, 2) option to delete any order from the order page, 3) option to delete mass order from the order list page.
This version is properly tested on the following Magento CE versions: 1.5, 1.6, 1.7, 1.8, 1.9.0.1, 1.9.1.0;
In this particular version we are supporting it to run on PHP V 5.5.15