YOU CANNOT DELETE AN ORDER. It is illegal to be able to remove payment or ordering information and/or invoice information from a business in Europe. Therefore, implementing a "Delete" button for orders would render PrestaShop illegal in Europe.
To safely delete the default order, install the "PrestaShop cleanerDatabase Cleaner" module (which is available in the default installation since v1.5.4), open its configuration screen and check the "Orders and customers" box before you click on the "Check Delete orders & fixcustomers" button.
You can export a list of your orders by clicking on the "Export" button at the top.
You cannot import orders.