There is no delete company option on the menus in the Canadian version of Sage 50.  You must have been reading the directions for another country's version of the same-named program.

Open the file and use File, Properties to find the location where database files are located.  You can click on the location link to open Windows Explorer as well.  Make note of the exact filename on the Properties dialog.

Close the file and wait 1 solid minute.

Then go back to Windows Explorer and delete the *.sai file and *.saj folder.

Please make sure you have a backup of the file before you delete it.  Once deleted, you can normally not get it back again unless you restore from a backup.