You don't delete programs. You uninstall them using the Programs & Features
applet in Control Panel. To delete a file in your own user account, you
simply delete it. To delete a file elsewhere or in a protected area, you
supply the password (or just hit Enter) for an administrator account when
the UAC prompt appears.
A more detailed question (what program? what file? where?) will get you a
more focused answer.
On those occasions when Windows still stubbornly refuses to let you delete
some useless file, try Unlocker, found for free here: http://ccollomb.free.fr/unlocker/
I've had great succes with it.
