There are a few options for deleting files. From the Finder Window, with the file highlighted, you can:
1.Drag the file to the Trash
2.Click the Delete icon (circle with slash) in the window's tool bar [if it's not there, you can fix that]
3.Right click and select Move to Trash from the contextual menu
3.Click File > Move to Trash from the menu bar
I just tried using the Delete key on my keyboard, and that didn't work. You could probably use Terminal as well, but that's not a "quick and simple" method.