What version of LW are you using? I'm still using 4.14.12, and on mine if I cancel a file, it won't start up again unless I resume it from the "Incomplete Files" section of my library.

If I pause a d/l or just shut LW down while a file is d/ling, they will resume the next time I start LW.

You could go into your "Incomplete Files" section in your library page in LW and delete the files from there, but if you still want to resume the d/l later you'll probably just have to cancel them each time you start LW.

__________________
If it ain't broke, fix it till it is!