using System.IO;
using Microsoft.SqlServer.Server;
public partial class FileSystem
{
    [SqlFunction(IsDeterministic = true, IsPrecise = true)]
    public static bool DeleteXmlFile(string xml_file)
    {
        System.IO.FileInfo obj_fso;
        bool is_successfully_deleted = false;
        obj_fso = new System.IO.FileInfo(xml_file);
        if (obj_fso.Exists == true) {
            obj_fso.Delete();
            is_successfully_deleted = true;
        }
        
        return is_successfully_deleted;
    }
}

csc /target:library /out:"C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Binn\StradSqlClrFileSystemDeleteXmlFile.dll" "c:\cs\FileSystemDeleteXmlFile.cs"" 

IF NOT EXISTS (SELECT * FROM sys.assemblies asms WHERE asms.name = N'StradSqlClrFileSystemDeleteXmlFile')
CREATE ASSEMBLY [StradSqlClrFileSystemDeleteXmlFile]
FROM 'C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Binn\StradSqlClrFileSystemDeleteXmlFile.dll'
WITH PERMISSION_SET = UNSAFE
GO

SELECT dbo.udf_delete_xml_file ("directory:\some_files")

A .NET Framework error occurred during execution of user defined routine or aggregate 'udf_delete_xml_file': 
System.UnauthorizedAccessException: Access to the path 'c:\myxmlfile.xml' is denied.
System.UnauthorizedAccessException: 
   at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)
   at System.IO.FileInfo.Delete()
   at FileSystem.DeleteXmlFile(String xml_file)