Hmm-- Your situation sounds a bit different salimrmaf. It reminds me of problems with verification seen with older versions. Are you using LW 4.8.1?

Anyway, when you click on the stuck download in the downloads panel, there should be a button below labeled "clear" (or kill, or stop, or something like that). Your version of LW might even allow the use of the delete key.

Once the file no longer shows in the downloads panel, just do another search and start the download again. It should automatically pick up that the file is already in the incomplete folder, and complete it.

If not, try playing the incomplete file the next time LW is quit. It might be good enough: just don't share that file back to the network.