In Explorer, go to View> Toolbars> Customize
Select "Delete" in the left side and click the button to add it to the right side. Then use the up/down buttons on the right side to position it where you want it, and you'll have a Delete button on there like I do.IDEA : delete files with a mouse
Once you have that, you just select the files you want to delete and just click the button.
You can also add others like cut, copy, paste, undo, refresh, etc.