How do i remove files from the Pending Changes list in TFS when those files have been deleted locally

Right-click on the file in the Pending Changes List, choose Undo.

Solved

I recreated the deleted folder and files in TFS and checked them in. Then I deleted them and they were gone from the Pending changes window.

It's simpler than that. Just select the deleted file(s) and right click and select Check-in. Files will be "checked-in" and deleted.