you plunder it
if you happen to get an X class dead planet, then keep it on your borders and wait until someone attacks and takes it, or cluster it with 4 other planets and plunder the cluster(becuase the cluster will be smaller due to an unwanted X class)
but if it is just a dead planet, as in planet type, then just plunder it by going to
manage colonies > click on the dead planet, and on the right side in a box near the center, select "plunder colony" and do it