I assume you are on PC. Right? One possibility (though it's so apparent, I almost wouldn't speak about) is, that you deleted the file(s) to Recycle bin and you don't trash it. If so, right click on RecBin and use Trash (or something similar, I have localized version of Win, so I'd be mistaken in the right English word).
The second one could be, there are lost files on your disk (from whatever reason). Open MyComputer and right click on the HDD icon (C: or D: or whatever), choose Properties, Tools tab and Check disk to errors.
The third possibility is, that you didn't delete it but move it somewhere else on the same disk. If you know name of the file(s) (or at least its extension) you could try to find it: Start - Find - Files or Folders and then use the name of the file or asterisk with extension.
Of course, Format (as Josue wrote) could help here, but remember you delete all your files on hard disk with it!
But now it's time to be gone - forever...