This video from Tekzilla.com tells viewers how to permanently delete a file from their computer without sending the file to the Recycle Bin. This is especially useful if you are low on space on your computer. However, make sure that you want to delete the file forever if you use this method! You will have a very, very hard time getting it back, assuming you are able to retrieve it at all.
Begin by deleting a file as you normally would, up until the 'Confirm File Delete' window pops up. When you see this, simply press the 'Shift' key. The file has now been deleted, without a detour to the Recycle Bin.