Do you mean "you highlight and delete in Phex"?

Operating System (Which Windows? I assume it's Windows).

What exactly do you experience (How did you try to remove the files? With which program? Where is your download folder? Where is your folder for incompletes? And anything else which might be useful.)

Could you remove the files when you had uninstalled Phex?

Sorry for nitpicking. This _is_ important for checking if you stumbled over bugs we don't know yet.

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