I don't think there is a way to prevent deletion of an individual file with Unix file permissions, but I can think of a workaround: write a daemon that replaces it when it is removed. inotify-tools is perfect for this sort of thing if you're on Linux.
There are a few ways you can replace the deleted item: copy a new one in place, or keep the real file in a safe place and just copy a link into the user's directory. For the link, you can either use a symlink or a hard link. I'd start with a symlink, but some (very few) programs don't handle symlinks correctly. If you find that the user encounters a program like this, use a hard link instead.