<asp:GridView OnRowDeleting="rowDeleting" runat="server">
 ...
</asp:GridView>

public void rowDeleting(object sender, GridViewDeleteEventArgs e)
{
  //in base al valore di path e nome (o di altri campi), componi il percorso del file
  var path = e.Values["path"].ToString();
  var nome = e.Values["nome"].ToString();
  var percorsoFile = Server.MapPath("~/" + path + nome);
  //e qui cancellalo
  if (File.Exists(percorsoFile))
    File.Delete(percorsoFile)
}

<asp:GridView ID="GridView2" OnRowDeleting="rowDeleting" runat="server" AutoGenerateColumns="False" 
        DataKeyNames="ID" DataSourceID="SqlDataSource2" CellPadding="8" 
        AllowPaging="True" PageSize ="20" >
        <Columns>

            <asp:BoundField DataField="ID" HeaderText="ID" ReadOnly="True" 
                SortExpression="ID" Visible="false" />            

            <asp:BoundField DataField="nome" HeaderText="nome" SortExpression="nome" />

            <asp:ImageField DataImageUrlField="nome" DataImageUrlFormatString="~\images\caricate\{0}"
                AlternateText="Caricamento immagine" NullDisplayText="No image on file." HeaderText="Immagine" 
                ReadOnly="true" ControlStyle-Width="100">            
            <ControlStyle Width="100px"></ControlStyle>
            </asp:ImageField>
           
            <asp:TemplateField ShowHeader="False">
                <ItemTemplate>
                <asp:LinkButton ID="LinkButton1" runat="server" HeaderText="Elimina"
                 CausesValidation="False" CommandName="Delete" Text=""
                 OnClientClick="if(!confirm('Vuoi eliminare questa immagine?')) return false;">
                 <img src='~/images/caricate/cestino.png' alt="Elimina" />
                </asp:LinkButton>
                </ItemTemplate>
            </asp:TemplateField>

        </Columns>
    </asp:GridView>        
    <br /><br /><br /><br />
    
    <asp:SqlDataSource ID="SqlDataSource2" runat="server"
    ConnectionString="<%$ ConnectionStrings:MiaConnectionString %>" 
        SelectCommand="SELECT * FROM [immagini]        
                        ORDER BY ID DESC" 
        DeleteCommand="DELETE FROM IMMAGINI WHERE (ID = @ID)">
        <DeleteParameters>
            <asp:Parameter Name="ID" />
        </DeleteParameters>        
    </asp:SqlDataSource>

public void rowDeleting(object sender, GridViewDeleteEventArgs e)
{
  
    var path = "~/images/caricate/";
  var nome = e.Values["nome"].ToString();
  var percorsoFile = Server.MapPath(path + nome);
 
  if (File.Exists(percorsoFile))
    File.Delete(percorsoFile);
}