Select an entry in the download list. Then press Control-Alt-Del. You will lose the download. (Tested on XP)

Anyway, the list controls XoloX is using are horrible. You can't even resize the columns freely. IMHO, they should be replaced with something that has a MS Windows look'n'feel, or at least is bug free. For example the MS ListView Control (part of a group of ActiveX controls that are found in the MSCOMCTL.OCX file).