I am sure you have figured it out by now.
As I haven't upgraded to 2.2.2 yet, I am not sure if they are referring to a new widget on the screen .... But there is no application button on the device itself.
The top button is a "Back" button. The middle one is the "Menu" button and the bottom one is "Home".
You should launch any application by touching it's widget.
If you go to settings, via the "Menu" button, you will see that Applications are mentioned when it takes you to the relevant screen.
You can delete applications by touching them, and options are displayed.
Use this feature when you download an app. you don't want to keep.