To remove a file from the current project's file list, use the Project > Add and Remove Project Files command. When a file is removed from a project, all the symbols found in that file are removed from the project's symbol database. Source Insight will not actually delete the file from the disk. See: Add and Remove Project Files.
You can also use Master File List to maintain the files in your project. This is useful for maintaining projects on separate machines and with other team members. See: Using a Master File List.