Yet another exclamation mark question

I downloaded a song from the iTunes store that I no longer want. I deleted it in the library but it remains showing with the dreaded exclamation mark. Trying to delete this song (delete, shift-delete, alt-delete, ctl-delete etc) simply gives the message that "Are you sure you want to hide this song? This song will be hidden from your iTunes purchases". No, I don't want to "hide" it (which for some reason gives you the worst of both worlds, where the song itself it gone but the entry remains shown in the library), I want it completely gone.

How do I remove the song from showing in the library?