The incomplete folder is usually whereever your shared folder is, most users put their shared folder in My Documents or on the C:\ Drive.

The default share location is:

C:\Documents and Settings\User Name\Shared

I set mine to:

C:\Documents and Settings\User Name\My Documents\Shared

If you set yours to:

C:\Documents and Settings\User Name\Desktop\Shared

Then your Incomplete folder would remain in:

C:\Documents and Settings\User Name\Desktop


I hope this clears things up for you, Don't Delete the Incomplete Folder, this is where your pending downloads are stored.

Good Luck!