If you have trouble deleting something, because of access rights violations:
http://ccollomb.free.fr/unlocker/Also if you want to delete something so it doesn't go directly to the recycle bin, you can hold down the shift button while pressing the delete button to bypass the recycle bin and get rid of it once and for all.
As for sensitive info that you want obliterated, you'll want a shredder program... like the one in TuneUp.