Your temporary files are still there. It's best to keep them
there because the external drive is slower. When a download
completes the file is then moved out to the external disk,
which is good because it frees space on C: again while also
defragmenting the file.

It's a win-win deal as long as you can provide enough space on C:.
If you're running on Windows you could apply the compression
attribute to the folder and hopefully reclaim a ton of space.

Here's how:

1. Go to C:\Documents and Settings\Your Name
2. Click on the "Incomplete" folder and hold the Alt key down
   while hitting the Enter key.
3. Hit the Advanced button
4. Set the attributes as shown
5. Hit OK
6. …and hit Apply

A little popup will give you the choice to apply compression to just
the folder or all the files too. Set it to compress everything and hit OK.

If you have a lot of downloads it will take a while.
Once it is done you will see how much space you saved.
The example below was a few minutes into a single test download of a typical movie.