This was a bit annoying, but not game ending. On my "Media HD" any time I would try and delete anything it would delete it instead of putting it in the trash. There appear to be a lot of people that want that feature if you Google around, I however like my trash. The error that pops up is similar to this... "Are you sure you want to delete “XYZ File”?
This post on apple support covers it,
https://discussions.apple.com/message/18996316#18996316
and the resolution is here:
http://www.thexlab.com/faqs/trash.html#Anchor-Files-46919