Triple clicking a bar bar select the whole of the score (double click will select the current staff, and single click the bar, just like in your internet browser triple/double/single click on text will select the line/word/nothing respectively).
To delete actual bars, and not just the content of them, you need to hold Ctrl + Shift, and then click in the bar. It should then get a double line around it, as opposed to the single one you normally get. If you want to delete more than one bar, simply hold shift after you have done the above, and click to where you want to delete to. Then press delete, and there you go.
I'm pretty sure that's it, but I haven't got Sibelius on this PC to test.