I replied to this thread myself several days ago, but apparently something hiccupped...
Anyway, what you describe (deleting files from a drive mounted over the network, and those files simply vanishing without appearing in the Windows recycle bin) -- that's actually the normal behaviour. Since your external drive is mounted on the Mac side, from your description, Windows would see that as a network drive (same as your Mac home folder or other shared folders when viewed from the Windows guest). Network drives work differently from local drives in the Windows world -- any deletions are immediate and generally permanent (you can get specialized tools to recover such files, but that's beyond the scope of this post). Windows' recycle bin only applies to locally mounted discs, and acts a bit like an
"are you really sure you want to delete this?" kind of safety catch.
Note that this is the same way network drives have always worked for me -- be it in Active Directory Windows-only corporate networks, my own VMware Linux-host/Windows-guest setups, or my Parallels Mac-host/Windows-guest setups.
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One question, though. You say:
I tried highlighting a file and hitting delete on the keyboard. That didn't work. it just changed the page.
What do you mean by
"it just changed the page"? What page? Do you mean that the Explorer folder view of the external drive changed to a different directory? If so, it probably changed to the last directory you were viewing -- this is normal behaviour when hitting the Backspace key in Windows Explorer. In fact, the Mac "Delete" key is actually the Backspace key -- I've never worked out why they put "Delete" on that key, since that's not what it does (Backspace erases one character back [generally to the left, unless you're using a right-to-left language like Arabic or Hebrew], while Delete erases one character forward [generally to the right]).
To use the Mac "Delete" key as a real Delete key (to delete one char forward, or to delete a file selected in Explorer), hold down Fn when hitting Delete.
Hope this helps,