Have you tried deleting them from within LimeWire?
As long as there is a Download.dat file in the Windows Explorer Incomplete folder those files will still show up in Limewires own Incomplete folder.
If it's the search panel in your start menu (hope not!) it probably means you have picked up a virus or trojan worm which will require your Antivirus software to be up to date and set to scan your computer for infections. if you don't have a good antivirus application a recommended one is AVG free software available from here:
AVG Free - Download antivirus and antispyware software for Windows XP and Vista
It would also be good to do a cleanout of Spyware too. A good program for that is Spybot-search and destroy available from here: The home of Spybot-S&D!