I tried to repeat your problem. Took a picture, plugged in iPhone to computer, Select "My Computer", "My iPhone", and deleted the picture...nothing happened except the deletion.
However, if you right click on your iPhone and select "Properties", "Events Tab" and then select "Camera Connected", "Save All pictures to...and select your location and I have check marked the two options below that. This way you do not have to delete anything.
Good Luck