Depending on which version of LW you're using...

In LW 4: Go to LW's library, click on Saved Files. Highlight a file & click Explore. Your saved folder will open. Close LW.
Or, to find the location of your saved folder you can go tools > options > saving & there you'll see the location...navigate to that saved folder & then close LW.
Try deleting files from this folder once LW's closed.

In LW 5: Go to My Library, right click on a file > locate on disk. Your saved folder will open.
Or you can go tools > options > downloads to see the location of your saved folder...navigate to that saved folder & then close LW.
Try deleting files from this folder once LW's closed.

Otherwise, try the tips in the thread below (both Unlocker & DelinvFile have worked for me).
Incomplete Download File won't delete at all.