When you delete a file, Windows moves it to the Recycle Bin. It doesn't really move it, just changes the pointer to it's location. When you delete it from the Recycle Bin, it simply marks the disk space the file was using as available. This is why file recovery programs can recover deleted files.
If you want to remove it completely, you need to use a "file shredder", which will overwrite the files location, either with all zeros, or with random data.
Eraser is designed just for securely deleting files.
CCleaner can also be set to securely delete files, and can many other clean up tools.
Many programs also have a Wipe Free Space option which can remove previously deleted files, but they do have some limitations. See CCleaner info on
Limitations of the wipe free space option for some examples.
The
Cipher.exe tool which comes with Windows can also be used to wipe free space.
Some information like cookies, History and Temporary Internet files can also be stored in index.data files as well as the file itself, so after the file is deleted, there are still remnants in the index.dat files. CCleaner can remove these files.
This does not cause free space to "go missing" unless there just happens to be a major glitch and Windows doesn't update the
$Bitmap file to show the space has been freed. This is something chkdsk can easily fix.