On Windows or Mac OS X, simply drag files to the trash can (on Mac) or recycle bin (on Windows).
On Linux, it's more or less the same thing if you are using KDE or whatever as your windowing environment.
From the command line in unix-like systems, you can type "rm filename" to delete a particular file.
In Windows, you press Delete to move the selected files to the recycle bin. Pressing Shift + Delete will delete the selected files permanently.