Now it's a bit hard to see given that it was right on the black line, but basically the pen tool works by making a bunch of clicks in little anchor points to make a path, until eventually you make a closed shape.
After that, right-click and choose 'make selection', so that a highlighted region similar to the one the magic wand gave us appears. Once again you can hit delete. Or, had I used the pen to click all the way around my Pikachu, and I wanted to delete everything outside my selection, not in it, then I would hit ctrl+shift+I, to invert my selection so that it does just that- goes for everything outside.