From the Zotero documentation pages (http://www.zotero.org/documentation/organizing_your_library):

To delete an item, select it and hit the Backspace or Delete key, or right-click (control click on Mac) and select “Delete Selected Item From Library...” If you delete a record from one of your folders, the record will remain in “My Library.” To delete a record completely, select it from “My Library” before deleting it or right-click the item in a collection and select “Delete Selected Item from Library.”