Yes seen this happen before.

1. Cancel the download in question & quit LW. Create a new folder A, move all your good incomplete files to it, delete the entire incomplete folder where this 'rogue' file is. Then rename the folder you created (A to incomplete) to be exact to the older one & move it back. See if that works.

2. Else, try this utility: DelinvFile - Utility for Deleting Invalid Files and Folders (Note Birdy's comment about this now not being free, there's always free alternatives.)

Oops I was distracted & slow to finish responding .. didn't realise Birdy beat me to it. lol