In LW 5.1.2, cancelling the download removes it from your computer.

LW 4 has a resume function, where you can cancel a download & then resume it later from the incomplete folder within LW's library.

5.1.2 does not have that feature - My Library doesn't show the Incomplete folder & so you can't resume as you could in LW 4. LW 5 will automatically resume incompletes, if sources are found, next time LW starts.

Your Incomplete folder 'follows' your saved folder - so say if your saved folder was C:\Documents and Settings\your username\Shared then your Incomplete folder would be C:\Documents and Settings\your username\Incomplete