I placed a very little polygon by mistake (it looks like line in the editor). How can I delete it ? It just doesn't want to be selected :(.

Use the 'Undo' command located in the top-center of the screen.

But if you have placed or edited something after you placed that polygon, it is probably impossible.
Try to zoom in and delete it.

What I usually do is just try to move the larger polygons out of the way, so I can delete the small polygon, and then move the others back.

I select all my polygons and move them on top of the little one, but keep the set up

offtopic: heh, nc, i just noticed you are aussie!

This is one of the big problems with the mapmaker. If you cant delete it, it will show up as "line" ingame, but you can move through it without problems normally. Still disturbs the looking of the map. So in such a case, do what Unlucky_13 suggested then.

:D
Oh, also, if you can still see it over the polygons, make a "Doesn't collide" polygon over it

Or just turn off smoth polygons.