Deleting list  item permissions is a specific permission  included in the standard
Contribute permission level. If you want to keep users from deleting items in
just one list then you will need to create a custom Permission level with the
correct permissions (everything contribute  has except Delete Items), break
permissions inheritance on the list and replace the permissions of the groups or
users with the new permission level instead of 'Contribute'.

Go to the Site Settings of the root of your Site Collection. Click
Advanced Permissions. From the Settings drop down click Permission
Levels. Click Add a permission  Level. Create a new permission level
for your users that includes whatever they need, just don't give  them
"Delete Items." You can look at one of the existing ones for guidance.

If you're the command line type you can use "stsadm -o
addpermissionpolicy" to create the new permission level and "stsadm.exe
-o managepermissionpolicylevel" to modify the permissions that level
has. Check this blog :
http://stsadm.blogspot.com.