You can delete any file from your computer if it is displayed in a folder window by just right clicking on the icon and from the menu selecting Delete.
This will go into the recylce bin.
You can also do as fo3nix says and delete a file WITHOUT it going into the recycle bin, but this is not to be encouraged in case you make a mistake (as I have found to my cost in the past).
Just be careful what you do delete as the are many important Windows and system files and if you delete one of them by mistake your computer may not boot up next time.