delete_file is a built-in, a function you can only call from Slick-C. Commands can be called from the SlickEdit command line, or bound to a key.
If you want to delete a file without leaving SlickEdit, you can click on the SlickEdit command line and the bottom of the editor (or press ESC in most emulations), and type "del <filename>".
If you want to delete a file from a macro, it's a bit more involved, but I can help you with that too.