Ok... if you are browsing this is not part of the wallpapers this is actually your explorer... so you are actually deleting the file and not the wallpaper entry in the wallpaper listing.
The only method I'm aware of to remove the wallpaper listing is to move the file to an alternate location. Open your wallpaper listing and it will no longer be listed. Once it is no longer listed you can move it back to its original location.
If any users are familiar with an alternate method and/or a utility that enables a user to customize their wallpaper listings please feel free to post it.