In some software like tune up, they serve a utility that helps us to recover permanently deleted files from memory, how is this possible ? What really happens in hard disk/ memory when we [SHIFT]+[DELETE] a file ?

When a file is deleted from within an operating system, the OS instructs the drive that the file should be marked for deletion. The hard drive does not write data over the current data stored. It just marks the space that the data is occupying as available. So, as long as new data doesn't occupy this space, the data can be accessed and recovered.

Is there any other way, without using any tools/softwares to recover that deleted file ?

I've done that in the past using raw sector editors. You usually have to boot into a live CD/DVD/USB system to do that, and it is very dangerous - you really need to know precisely how the file system is organized, and that is not always easy. All file system types are very different, such as FAT, NTFS, Linux ext2/3/4, xfs, ufs, zfs, etc al. Assuming you are referring to Windows systems, then you have FAT-16, FAT-32, and NTFS. With NTFS you may also have compressed or encrypted folders, which becomes another major issue. I have 30+ years of software engineering experience, including implementing file systems of various types, and even I don't bother with raw sector editing - the last time I did that was probably 20-25 years ago when I had no choice.

deleted data can be recovered. but overwirtten data can't be recovered. if you want to delete data permenantly. you can wipe your disk or partition with 3rd party partition wizard. :)