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If you have the song in the library you should be able to select "Delete" from the right-click menu. You get a question if you want to delete it on disk too.
If it is in a playlist you should be able to select "Remove from list", but that does not delete it from disk.
If you do not have it in neither library nor a playlist you can select "Open..." from the File menu, find it on disk, and in that dialog right-click on a file and select "Delete", then just cancel that dialog. This deletes it from disk.
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