When you drag files from Windows Explorer onto the program, Windows runs the program passing it the names of the files as command-line arguments separated by spaces. Compile this program and place a shortcut to the executable on your desktop, in a folder, or some other place so you can conveniently drag and drop files onto it. Add a shortcut to Windows/SendTo to make it appear in the SendTo popup menu.

The program uses Split to separate the file names, verifies that there is at least one file, and asks the user to verify the deletion. It then loops through the file names using VB's Kill statement to delete them.

This is much faster than moving the files into the wastebasket and you don't need to empty the wastebasket later, a step that is also relatively slow. The downside is files removed in this way are immediately lost forever.

Private Sub Main()
Dim file_names As Variant
Dim i As Integer

    file_names = Split(Command$, " ")
    If UBound(file_names) < LBound(file_names) Then
        MsgBox "Do not start this program interactively." & _
            _
            vbCrLf & vbCrLf & _
            "Instead, drag and drop files onto the " & _
                "program's icon to permanently delete the " & _
                "files.", _
            vbInformation
    Else
        If MsgBox("Permanently delete these " & _
            UBound(file_names) - LBound(file_names) + 1 & _
            " files?", vbQuestion Or vbYesNo) = vbYes _
        Then
            On Error Resume Next
            For i = LBound(file_names) To UBound(file_names)
                Kill file_names(i)
                If Err.Number <> 0 Then
                    MsgBox "Error killing file " & _
                        file_names(i) & _
                        vbCrLf & Err.Description
                End If
            Next i
        End If
    End If
End Sub

If you find a workaround, let me know.