You can do:
(as stated above) or
In the first case, the '--' tells the initial command, rm, that there are no more switches for it and what follows is a file name.
In the second, you're using simple double-quote enclosure of the file name.
In the last, you're using the backslash character to escape the special meaning of the '-' so that the shell sees it as just a printable character with no special significance.