There is no way to remove the Master Categories that ships with WM5 using built-in applications (unlike WM 2003SE and previous versions - think it's a WM5 bug).
You'll have to rely on 3rd part softwares like Pocket Informant to do it.
I'm trying to write a small app to add/delete master categories using Visual Studio 2005, but the documentation is still kind of "green"...