But by end of the day, there are reasons that people want to delete the order.
Be it by mistake, or due to testing the order.
I finally found a extension which works with magento 1.6.2, but it does not cover properly for 1.6.2.
So i ended up altering the module block to support it.
But due to the nature of the reporting in magento, its not possible to delete the cached reports in the database using this extension.
It can only be deleted based on date, but becareful with this procedures.
The reporting tables for sales order are:
Please note that i do not responsible for any data lost in the extension. So do the original developer himself. Please remember to backup your database in system > tools > backup before applying this extension and deleting any order.