Are you getting any error messages when you try to delete (eg can't delete because the file's in use)? Make sure LW's shut down before you delete from the shared folder, just in case the file's being uploaded at the time. Try rebooting in safe mode & see if the files delete properly.
Microsoft Corporation

Otherwise, try one of the tools here (I've used both Unlocker & DelinVfile).
Incomplete Download File won't delete at all.

Does your computer seem to be running normally? It might not be a bad idea to update your AV & scan your computer...just to make sure there are no nasties associated with the files