No idea of that handset in particular, but most allow you to store the numbers on the SIM card or on the handset memory. It is a case of following the menus until you find the reference and then selecting the delete to remove the old settings from the directory.
Make a nice cup of tea, sit down, and play through the menus. Better still if you have a paper manual, or can find the info on the Sony/Ericsson website as that might guide you.
My guess is that he handset it set up to find the number in the handset memory rather than the SIM memory, but best delete the number from the handset memory altogether.