Go on the zedge app then select downloads at the bottom of menu. Then select wallpapers. Once done flick through the pictures and press the cross in the top right hand corner of the picture you want to delete when it goes red press the menu button on your phone. once pressed there will be a menu onscreen. the 1st box you see with "Delete Selected items" is the one you want then that should be it. let me know how it went
have you tried connecting your phone upto your computer/laptop via the USB cable and download the ringtones from the zedge website.