Login to your account and just follow the direct delete URL and you're set. This is one of those sites that only recently added removal functionality, which is a good thing nonetheless.
Direct removal link: http://www.mylot.com/nr/cancel.aspx
If you signed up for MyLot using a third-party login such as Facebook or Twitter, you probably want to revoke all access from MyLot. Click the icon below to find out how.