It's actually called Options.
You can get to it using Ctrl-O (O for "Options") or using the top menu>Tools>Options. When you get there, you will see a search box at the bottom of the dialogue, which makes it easy to find settings. Although in this case, as the actual setting is buried in a sub-dialogue, the term "ignore files previously removed from library" isn't found. So you need to know it is part of Auto-Import. That is explained in the Wiki articles. Search around and read some of them, particularly the "Getting Started" article, and the articles linked to in that article.
The actual setting that you want under Options is at Options>Library & Folders>Auto-Import>... Configure auto-import, then see in the check boxes down the bottom of that dialogue, "ignore files previously removed from library".