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Так работает Windows

The following deletion actions do not send files to the Recycle Bin, whether or not the Recycle Bin is active: • Deletions from removable disks (CD-RWs, floppy disks, Zip drives, and other removable disks). • Deletions from remote shares. • Deletions from compressed (zipped) folders. • Deletions at the command line.

HOW TO: Bypass the Recycle Bin When You Delete Files and Folders in Windows XP

Возможно, существуют сторонние решения.