I'm going to assume you're using Gmail or something like it.
So.
Go into your Settings. Then select "Mail, Contacts, Calendars." Select your Gmail account to open/edit it. Towards the bottom, you should see a line that says "Archive Messages." Turn the button to off (grey it out). Then select done. Now when you go to delete mail, it'll delete it, not archive it.
Hope that helps.
Marilyn