if you have itunes set to manage your music, when you go to open a song you've downloaded it copys the song and places it into the itunes folder, so you can do whatever you want with the original; as long as you don't touch the itunes music folder you'll be able to play your song from itunes. when you delete a song from itunes and it asks you if you want to delete the song from your computer or just library and you select computer, it deletes the copy of the song it made, not the original. so say you had an mp3 on your desktop, opened it in itunes, itunes would them copy the song into its own special folder, you go to delete the song from itunes, itunes deletes the copy it made, not the original.
that said, i don't know of any programs that would do what your asking, but a solution for the future would be to delete songs after they're added to your itunes library, in the case above, for example, after adding the song from the desktop to your itunes, deleting the copy on your desktop.