Delete button doesn't delete files

Hello all,

I have the Apple keyboard, but one thing that has always niggled me is the delete key. It deletes text, but if I want to delete a file the only way of deleting it is dragging it to the trash. The Apple keyboards shortcuts page says the Delete key deletes files, but it doesn't do anything at all. Fn+Delete doesn't work either. The delete key also does nothing in iMovie, just makes a "dun" sound, meaning invalid key pressed.

How do I get the delete button to actually delete things??

Using Mac Mini with Yosemite

Kind regards

Omar