2 ways: (1) Find your LW dwnld folder & manually delete them. (2) Or if your LW dwnld folder is also a selected Shared folder, select the folder in your LW Library window, select the particular item & press the delete button. Make sure it's the correct file you select, b/c if you delete via the LW Lib window it'll be almost impossible to recover!
Or if you're refering to movies you're presently dwnlding & you've decided they're 'Phony' & want to stop dwnlding & delete them, (a) Kill the Dwnld from the Dwnld window, (b) Go to your LW Lib window & select the file in your Incomplete list & press Delete. (b) can also be achieved by the (1)st 'manual' suggestion above.