Don't worry, deleting a report does not delete the dataset that the report is based on.  And any visualizations that you pinned from the report are also safe -- they remain on the dashboard until you delete them individually.

To delete a report:

  1. In the left navigation pane, right-click the report to delete and select Remove.

  2. Confirm the deletion.

Note:
If the report is part of a content pack, you will not be able to delete it using this method.  See Deleting an organizational content pack

See also

Read more about reports in Power BI
Power BI - Basic Concepts
More questions? Try the Power BI Community