Obviously using LW 5 (LW 4 did not delete the incomplete files). You need to cancel them from the download window first. LW 5 should be deleting the incomplete files also. Unless you accidentally started downloading a bad file or more ... which might be viruses, not easy to delete.

Cancel the files you do not want from download window. Close LW. Go to the incomplete folder, remove the 'good' incomplete files temporarily, delete the incomplete folder. Then create a new incomplete folder in same location & return the 'good' incomplete files.