when you delete a song it will ask you if you want to move it to the trash, if you just hit return it will leave a copy in your music folder but delete it from the iTunes music library.
however, if you told it to move the file to the trash and it didnt...well thats a different story.
deleting a song in your library is a two step process though. and rightly so. wouldnt want to accidentally delete something you want now would you? 😉