There are a few pieces to this problem.  First, you need a listing of the files.  Depending on your needs:  glob.glob, os.listdir or os.walk might be appropriate.  You also need to know how to open a file and search for the string.  The easiest (naive) way to do this is to open the file, read all the contents and check if the string is present:
def check_file_for_string(filename,string):
    with open(filename) as fin:
         return string in fin.read()
This naive way isn't ideal as it will read the entire contents of your file into memory which could be a problem if the files are really big.
Finally, you can use os.remove or os.unlink to delete the file if check_file_for_string returns True.