You can either right click the file and select delete, or you can select the file and push the delete key on your keyboard.

If you are trying to install a theme, you should decompress it in the ..litestep/theme directory wherever you might have installed it.

For desktop icons that you can use while you are applying the litestep shell, place any shortcuts that you want in the ...litestep/shortcuts folder they should pop up right on your desktop right after that..

Regards,