A lot of players are wanting to know how to delete not only their saved files where they have 3 Character Slots with 3 different classes and or races.

If you plan to delete Phantasy Star Zero's game data, you will be deleting the following:
-> Vending Machine Items Given out
-> Items that is stored in Joint Trunk
-> Player Ranks
-> Player Titles
-> Meseta (Money)
-> All 3 Character Slots (along with their gear, supplies and learnt techniques)
NOTE: Deleting all three of your character slots will NOT help deleting the entire game itself. If really wish to do this, then follow the instructions very carefully.

Hold A+B+X+Y+L+R when the game starts up. You will then see the options to delete Phantasy Star Zero's entire data.

This is your one time warning: once you delete Phantasy Star Zero's entire data, you can never retrieve your old game data again. Just remember, you can only do this if you somehow messed up your game or you want to sell it.

Credits goes to Aldermar
Information all thanks to Chukie sue in PSO-World Forums