If you do not wish a file or folder you are deleting (or a group of files or folders) to end up in the recycle bin, for security or privacy reasons, there is a simple keyboard shortcut to avoid it.

To bypass the recycle bin when deleting a file, press and hold the SHIFT key as you press delete or select the delete command from the menu. You will see a request for confirmation, and once you say 'yes' the files will be permanently deleted, and absolutely non-restorable from WindowsXP.