From a terminal you can simply use the rm command, e.g.
If you want to add this option in the right-click menu of your file manager, it depends on what FM you actually run. For example, if using Nautilus in GNOME environment you can open gconf-editor and under the Nautilus preferences, check the option "Enable Delete" so that a proper action is added to the menu.
I cannot look at it now, but there should be an option in the Nautilus preferences dialog (without going through gconf-editor). Hope this helps.