Magic wand tool messing up! :(

[whitexombie]

So, I was using the magic wand tool to cut out stuff and usually when I have something with it I'll press the key "Delete" on my keyboard that part would go transparent but it wont do it anymore every time I press delete it comes up "Fill" how do I take it off fill and make it transparent?

[Steve]

CS5 does that on a locked layer.
Duplicate the layer or unlock the background layer to get around this.