I found this in a few different places around the 'net - hopefully it's helpful:

Skip the Recycle Bin Confirmation Message

When you delete items by moving them to the Recycle Bin, Windows displays a message confirming the deletion: "Are you sure you want to send FILENAME to the Recycle Bin?" If you?re tired of clicking an answer to that question, you can configure Windows XP to skip the confirmation message whether or not you?re using the Recycle Bin.

• Right-click the Recycle Bin, and then click Properties.
• In the Recycle Bin Properties dialog box, clear the Display delete confirmation dialog check box, and then click OK.
• If you don't want to use the Recycle Bin at all, in the Recycle Bin Properties dialog box, select the Do not move files to the Recycle Bin. Remove files immediately when deleted check box.