Disable Shift+Delete

You could use something like AutoHotKey to map Shift+Delete to Delete.

However, you would need AutoHotKey running all the time for this to work.

The AutoHotKey script to do this is as follows:

+Delete::
KeyWait Shift
Send {Delete}

Unfortunately there isn't really a way to do this. You can disable it in particular applications, for example there is a registry hack to prevent it in Outlook, however I do not know of any for Windows Explorer.