Problem: Every time you delete a file, Windows asks you if you're sure you want to delete it.
Solution: Turn off the Recycle Bin's Delete Confirmation feature. Because the Recycle Bin makes file deletion a pretty impermanent experience, WinXP's "Are You Sure?" message is a waste of time and mouse activity. To eliminate the message, right-click the Recycle Bin, choose Properties, click the Global tab, remove the check mark from the box next to Display Delete Confirmation Dialog, and click OK.
Source - PC Magazine Discussions