One way it to select all your photos in the library and press the Delete key. Then when it asks you whether you wish to delete the files on disk or just remove them from the lib, just ask LR to remove them from the lib. That way you'll get what you want: just removing LR's links to the real files.
If you want to physically delete the catalog itself, try looking here:
C:\Documents and Settings\
\My Documents\My Pictures\Lightroom
is your username. That's the default catalog location.