as noted above, this isn't the best place for SQL questions but here's how you would do that in recent (>= 4.0) versions of MySQL:

DELETE FROM table1, table2, table3 
USING table1 
    INNER JOIN table2 USING(data_id) 
    INNER JOIN table3 USING(data_id) 
WHERE table1.data_id = 111
[download]

Starting in MySQL 4.1 you can use table aliases (must be consistent in both the FROM and USING clauses