Some themes have a "Home" tab coded into them for visitors to use when they are on any page in the blog to get back to the front page of the blog. It's just a tab and not an actual page therefore you do not see it in your dashboard and cannot edit it or delete it. http://wpbtips.wordpress.com/2009/05/06/the-home-tab/
I suggest that your create a custom menu as that will solve your problem. First see > the differences between pages and posts > http://en.support.wordpress.com/post-vs-page/ Then see How to create Pages > http://en.support.wordpress.com/pages/
1. You create a custom menu. http://en.support.wordpress.com/menus/
2. You add the Parent pages you want to display and arrange them in the order you want.
3. Then you add and drop and drag the subpages below the appropriate Parent pages, and when you have everything arranged in the menu that you want you save the menu.
4. Go to the “theme location” module at upper left on the menu page. Select your custom menu name from the pulldown labeled “primary location.” Click the save button in that module.
5. Refresh your browser so that it isn’t possibly pulling a cached page, and view see your new menu with Parent pages and dropdowns to sub-pages.