In WMedia Player the options menu has a check box for deleting files from the computer when deleted from the WMP library or playlist you create. By default media players will often save files under your user name in the DocumentsandSettings(XP) or users folder(Vista).
With most players the option for specifying a particular folder is seen where you can use a folder you create for that alone outside the regular MS made. Once you are done with any media you simply browse to that folder alone to manually delete anything you no longer want. That would be one method to look at.
