You need to remove that permission from the Permission Level that is
being assigned to the members  group. Assuming that is the Contribute
Permission level (that's the default) here's how you do it.

1. Navigate to your Site Settings page and select Advanced
Permissions.

2. On the Settings menu select Permission levels.

3. Select the Edit Permission levels link from the toolbar.

4. Click the Contribute permission level to edit its permissions

5. Scroll down and deselect the checkbox next to 'Delete Items'.
You may also want to deselect the 'Delete Versions' permissions.

6. Click the Submit button at the bottom of the page

You'll need to repeat this for any other permission levels that include
these permissions that are granted to the members group. Contribute is
the only one granted by default.

Another option would be to create  a new
Permission Level and include all of the permission details that the
Contributor has, but leave off the delete  detail. Then go back and re-
assign your "members" group  to your new permission group (level).

That's actually the right way to do it. Please note two things.

1) There is a copy button available when editing a Permission
level. That's the easiest way to make sure they match. Then remove the
delete permissions from the copy.

2) Be sure to remove Contribute from the members  group.
Permissions are additive, so assigning a new permission level won't work
unless you remove the old one.

But it is normally better to always work on a copy when dealing with any
of the default settings.

Thanks everyone for the quick response. Both ways worked. We ended up
just removing the delete  options from the Members group.