Copy vlc-delete.lua to C:\Program Files\VideoLAN\VLC\lua\extensions\ and restart the VLC player.
Copy the vlc-delete.lua file to ~/.local/share/vlc/lua/extensions/ and restart the VLC player.
Note: When trash-cli is installed videos will be moved to the recycle bin instead of removing them directly.
When playing a video you can click on View -> VLC Delete. Then the video will be removed and the next one is played.