If the disc was written with packet-writing software such as InCD or Direct CD, then yes you can. If the disc is a standard ISO 9660 data disc, then no you can not, at least not in general. If you burned a multi-session disc, you can simulate erasing a file by writing a new session and not including the file you want to delete when you import the previous session. This actually works for both CD-RW and CD-R, but doesn't actually free up space on the disc. The file remains there, but becomes inaccessible.
Of course, as you suggest you can always copy the contents of your disc to hard drive, fully erase the CD-RW, then re-burn it without the file you want to delete.