You can't delete them because you're sharing them. So there's probably someone uplding the song you want to delete. Don't you want to share or are you a leech who takes & runs!??? Give & take is what p2p is all about. Perhaps you misunderstand p2p's concept ... peer to peer sharing!
Close LW & then you can delete the file.

If you want to speed up LW & reduce drag then do these things:
Tip: Purge the Downloads Queue!
After opening LW wait 10 to 20 mins before using. Let it settle down 1st.
Set both uplds & downlds to autoclear.
Close all LW windows you don't need open at that time.
Don't use the Resume button on all incomplete files. This can have side-fx such as affect LW's connection quality. This will also stress LW & your comp. If you use Resume/Find sources then just apply it to a couple or so at one time.

Periodically you should go to your incomplete folder by opening it up (Library select incomplete & press Explore button) & delete any files that have the name Preview in it. This basically applies to movies however!