As you may know, 'Delete' in Windows does not do what it says. All that happens is that the reference to the file in the FAT is removed. This means all your sensitive data is left on your disc until it is overwritten. If you have confidential stuff you really want to get rid of, you need to perform the equivalent of 'shredding' your file. This means wiping it. Using BCWipe, the data is overwritten (up to seven times), the entries in the FAT are expunged and the swap-file free space is overwritten, which effectively destroys the file. Not, however, 100%, but enough to deter anybody but the FBI - you won't be able to recover it. It sits on the right-click context menu, and is freeware. You can get it from my website.
(There's also a page on encryption, should you need to know how to hide information without getting rid of it).

Laters: unfortunately, the link to the homesite for BCWipe no longer has the freeware version available. It can still be obtained from my site, though.