If I delete a file, the following message appears on the screen:
How could disable that message and send the file straight to the trash can?
You can try this:
1) Open Pcmanfm (File Manager) and go to Edit > Preferences
For Lubuntu 12.04 to 13.10
Uncheck Confirm before deleting files
For Lubuntu 14.04
Uncheck Confirm before moving files into "trash can"
Hope this helps.
You can also delete a file without moving to trash by using Shift + Delete shortcut.
There's a pair of checkboxes near the bottom of that panel to choose "delete" behavior.