If the file is incomplete, go to your LW library, click on 'Incomplete Files' & then click Explore...your incomplete folder will open outside of LW. Keep that folder open, close LW & once LW's closed, delete the file from your incomplete folder.

If the file isn't incomplete, go to LW's library & click on Saved Files, highlight the file & click Explore....same deal when the folder opens; completely close LW & try to delete from the saved folder.

If that doesn't work, try deleting in safe mode or use one of the utilities in this thread below.
Incomplete Download File won't delete at all.