Go to LW's library, click on Incomplete Files. Highlight the file & click Explore. Your incomplete folder will open outside of LW.
Close LW (make sure LW's closed rather than just minimised).

Try deleting files from this folder once LW's closed.

Otherwise, try the tips in the thread below. Both Unlocker & DelinvFile have worked for me. However, DelinvFile is now a trial version. Unlocker is free
Incomplete Download File won't delete at all.

If you still have trouble with the file reappearing, update your AV program & scan for viruses. And a scan for spy/adware wouldn't hurt... if you need more info about antispyware etc, there are links to free apps here: * WARNING: Viruses on network you should be aware of ! *