Mac OSX keyboard does not have a dedicated delete key that is found in a PC keyboard. The delete key on the Mac keyboard is same as the backspace key in PC. So that will not work here.
Generally after selecting the file to delete, one would do control click or right click on the trackpad to launch the popup menu, then select Trash option to move the file/folder to the Trash.
The same operation can be pressing:
Apple Key(Command) + delete key to move a file to the Trash.<!>