Try the tips here for deleting files Incomplete Download File won't delete at all (click on link) & make sure LW is closed when you try to delete a file. Otherwise it might be sharing at that moment. Or a program you tried to open it up with is still active with it. Perhaps your anti-virus program is still active with the file & is preventing you deleting it.

Do NOT downld any file below 1 MB (1,000 KB) in size as most of these are spam or viruses.