It is impossible to get rid of buildings in Civ4. The only time they are destroyed is when a city is captured - then all culture-producing buildings (except World Wonders) are destroyed, and the other buildings have a chance to be destroyed (except World Wonders).
As for Coal Plants, the priority sequence is as such:
1) Hydro Dam (which Three Gorges Dam counts as)
2) Nuclear Power Plant
3) Coal Plant
If you have a better building built, then that one is used and the old one is automatically not used (including bad effects from it).
For example, if your city builds a Coal Plant, then you will have power and increased sickness from coal. If your city builds a Nuclear Power Plant, then you stop having increased sickness from coal, since your city won't use the Coal Plant anymore, and instead you'll have a small chance of a nuclear meltdown. If your city then builds a Hydro Dam (or gets power from Three Gorges Dam), then you will receive none of the disadvantages of Coal Plant and Nuclear Power Plant.
This means that if you build a Nuclear Power Plant, there's no reason to build a Coal Plant, since it won't get used anyways.
In your specific case, you don't need to get rid of the Coal Plant anyways. The Three Gorges Dam wonder provides power for the city, so the city no longer uses the Coal Plant, and no longer receives 2 sickness from resources (coal) associated with the Coal Plant.