Go to LW's library, click on Incomplete Files. Highlight a file & click Explore (bottom left). Your incomplete folder will open. Leave that folder open & close LW. Make sure it's properly closed by checking in Task Manager - if there's a LW process running, end the process.
Once LW's properly closed, delete the files that are causing problems from within that incomplete folder that you still have open.
If you still can't delete them, try one of the tools here (DelinvFile & Unlocker have both worked well for me):
http://www.gnutellaforums.com/downlo...elete-all.html