If you have iTunes import enabled then completed music downlds will copy themselves to iTunes library.

You might not be able to delete certain files b/c they are in a shared folder (Somebody may be trying to upload them.)

Are you operating as an Ultrapeer (UP)? To check go to LW's Prefs>Speed & see if Disable Ultrapeer Capabilities is enabled or not. It's a good thing for the Gnutella Network to be a UP but it will use up some of your bandwidth. Perhaps if you are trying to quit people are still trying go thru your LW.

Set your downlds to Auto-clear. Also, go to Shutdown in LW's prefs & change setting to Shutdown immediately (don't forget to press the Apply button for immediate effect.) Do you allow partial file sharing? Go to Uploads>Basic & untick option for allowing partial uplding. This may be why you can't delete your incomplete files.

Try these things & get back to us.

You do know how to force quit in OSX don't you?