When you want to cancel multiple orders at the same time, you can use the Order Cancellation file.
You should download the Order Cancellation File template (a Microsoft Excel file) from the Order Cancellation Template page, edit the spreadsheet, save it as a Text (tab-delimited) file, and then upload it on the Order Cancellation page.
If you want to cancel one or two orders, you can use the Manage Orders feature. There, each order has a link to cancel the order (unless it has been shipped, in which case you may need to ask the customer to complete a return).