if you are removing tracks from a playlist, you wont be prompted depending on your preference settings (see the confirmations section of the main preferences tab)
if you are deleting a track in the library or inbox, you should always be prompted (unless you hold the SHIFT key down).
You can either delete the link or delete the file.
If you delete the link, the file will not be deleted, which means if you have a folder monitored or manually rescan then the file will be added back into the library if you scan that folder