When you delete a file using Windows Explorer, the file is normally be moved to the Recycle Bin, unless you used "Shift+Delete". While it is in the Recycle Bin, the file can easily be restored without any problem. So the first thing to do when you want to recover a deleted file is look in the Recycle Bin.
Nothing on your drive is permanently removed when you delete it. Whenever you delete a file Windows simply marks it for deletion by changing one character in the file table. The entire file is still sitting on your hard drive, but it is hidden from view. Windows then allows other files to write over the space where it resides if required, but the file is not gone from your hard drive until it is completely overwritten at some point. This means that you can actually recover files that have been 'permanently' deleted, but you will require special software to do so.
The best utility I have found to restore deleted files is a small free tool called Restoration. Upon start, you can scan for all files that can be recovered and also limit the results by entering a search term or extension. You can then select a file and click 'Restore by Copying' to recover it - however note that the file may not be complete since portions of it may have already been overwritten, so there is no guarantee you can recover an entire file this way. The chances of recovering the file intact decrease the longer you leave it - because the longer you leave it, the more likely it is that the computer will reuse all or part of the file's disk space for something else.
If you have accidentally deleted an important file, try and minimise any further disk activity. Do not start an application, save files, defragment your hard drive or even reboot Windows for example as these all aid in potentially overwriting the area where the file is sitting. Don't even leave your system idle for long periods of time either, since by default Windows XP starts defragmenting your hard drive in the background when idle. Run an undelete program like Restoration immediately.
Permanently Deleting Files
Restoration also provides the option to permanently delete files so that they cannot be recovered.
If you want to recover deleted or damaged files on a CD or DVD, you will have to use a utility like IsoBuster. However just like hard drive data recovery, there is no guarantee that any usable data can be recovered from a damaged or deleted disk - particularly if it has been erased.