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[Note: I don't own such a keyboard. I assume this is the one you're talking about.]
I blame Apple for naming their keys wrong.
What they call the "delete" key is commonly referred to as the "Backspace" key (often labeled using a leftwards pointing arrow). When pressed, this key removes the character you just typed (left from the cursor).
The other key (which the Apple Wireless Keyboard seems to be missing) is commonly referred to as the "Delete" key. When pressed, this key removes the next character (right from the cursor).
According to some forum thread you can access the real DELETE key by pressing fn + "delete".