If you are EV 8 look in the Desktop policy on the Options tab.
Outlook Behavior:
The Outlook Behavior settings allow you to control aspects of the behavior of the Outlook and OWA clients.
Shortcut deletion. This setting controls what happens when the user deletes a shortcut from Outlook and OWA clients. Note that for Outlook clients this setting is ignored and the shortcut is deleted unless the site setting Users can delete items from their archives is selected.
Shortcut only. The shortcut is deleted. If users hold down the shift key while they perform the deletion, the item is deleted without being placed in Deleted Items.
Both deleted. The user is informed that both the shortcut and the archived item will be deleted. If the user chooses to continue, both the shortcut and the corresponding archived item are deleted.
Ask user. Ask the user whether to delete the original item and the shortcut, or the shortcut alone.
If EV 2007 check the Mailbox policy on the Advance tab, Outlook, Shortcut deletion behavior