How to assign DEL key to del files was one of questions I wonder but ignores it as a minor issue. But, it happens to me that it would be simple thing once If I use KeyRemap4MacBook, and it is true.
You can look up 'Delete Files' at KeyRemap4MacBook, then you can find "Enable at only Finder" like this:
You can download it at this URL : https://pqrs.org/macosx/keyremap4macbook/
Is it simple, isn't it?
Other tips & hints for new migrants from Windows are here :