getting dead site removed

How can I report a site that is present in your directory but which no longer exists when I click the link?

The same way you can report URL changes, just click the "update URL" link at the top of the page and explain in the "Please describe the nature of your changes" field that the site is dead <img src="/images/icons/smile.gif" alt="" />

[Added note: if the URL still exists but changed content, please report it here.