If they are still there after you quit and relaunch LW (try quitting and Shutting down your comp), then it could be a Java thing or that the downloads.dat file that keeps trask of the incompletes has been corrupted.
If you have no more incompletes that you want in the incompletes folder, then browse to it from the desktop and delete the entire content (after quiting LW first), not the folder itself.
EDIT: My bad. I posted assuming that you had LW, but I have no idea whatsoever as to which client you are using... Shoulda posted it in the first place.
__________________ iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps
"Raise your can of Beer on high
And seal your fate forever
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The Golden Age Of Leather"
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