From the "Home" page, My Courses, select the course you wish to unenrol from. Looking at the Administration block on the left hand side, click on the 'Unenrol me from ' link. You will be presented with the message "Do you really want to unenrol yourself from ?" click "Continue" and you will be unenrolled from that course. On clicking "Continue" you will be returned to the "Home" page where you will see that the course has been removed.

If you do not see this option, it is likely that you have been enrolled on a course by a training establishment: You need to contact your course administrator/instructor for that course, contact details should be on the top right hand block of the course.