+1 ^ that list is what is shared out on your computer, not what you connected to. If it was a share on another PC, you can delete the connection if it was mapped. Since it's on your PC, you need to find the folder that is being shared and unshare it as above.
If the share list is from Network Neighborhood, it will not be removed unless you unshare the folder on whatever PC it's shared on. You can only remove a share connection that you mapped to.