Baconl's answer will technically work. However, it is not the preferred solution to accomplishing this task.
If you move the file to local, you are overwriting the entire core file. If anything ever changes in that file during an upgrade, you lose those changes because of a small edit in one function.
The function that adds the delete mass action has an event at the end of it. It's best to write a module that has an observer that observes that event and removes the "delete".
With this solution, you have the least impact on the other code in that file and lose nothing as far as upgradeability.
Here is a link to some code that does it this way: https://stackoverflow.com/questions/29584740/how-do-i-remove-a-massaction-from-the-product-grid-using-observers-in-magento
You will need to make a custom version of the file
copy it to:
Find and remove this bit of code:
$this->getMassactionBlock()->addItem('deletes', array( 'label'=> Mage::helper('catalog')->__('Deletes'), 'url' => $this->getUrl('*/*/massDelete'), 'confirm' => Mage::helper('catalog')->__('Are you sure?') ));
Never change Magento core files, keep in mind this in not a clean way to fix this problem. TJ Gamble at Jamersan`s answer is a clear way to fix it.