To be on the safe side, back up your incomplete folder (that contains the downloads.dat & downloads.bak files). By default, the location is C:\Documents and Settings\your username\Incomplete.
Your Incomplete folder will be close to where your saved folder is...if your saved folder is C:\Documents and Settings\your username\Shared, then the Incomplete folder will 'follow' that & be in C:\Documents and Settings\your username\Incomplete.

Back that folder up when LW's closed. If anything awful happens, you can replace LW's incomplete folder with the one you've backed up. Only replace the Incomplete folder when LW's properly closed.