Deleting file(s)

Vista Ultimate

When deleting files, the only option I have is to permanently delete them,
dialog asks:
"Are you sure you want to permanently delete these n items?"

This happens regardless oof using Shift-Delete or ordinary Delete.
I have also checked the property settings of the recycle, Custom size is
clicked (and have a big size allocated), i.e.
"Do not move files to the Recycle Bin. Remove files immediately when
deleted." is not checked.

Anyone knows how to get back possiblity for moving to recycle bin instead of
this strange behaviour ?