If you simply delete a file in Windows Explorer then you should get a little question "Are you sure you want to move this file to the Recycle Bin?". When emptying the Recycle Bin you also get a confirmation. If you use Shift+Del to bypass the Recycle Bin you also get a confirmation question "Are you sure you want to permanently delete the file?". This is the default behavior.
So, given that you're asking about it, have you disabled these prompts in some way and now want them back? Look at these illustrated instructions
on how to disable or enable these prompts. Basically, this is controlled by one check box: right-click on Recycle Bin -> Properties -> Display the delete confirmation dialog.