Maybe LW isn't properly closed when you're trying to delete files from within the library - in that case you could see the 'in use' error.
Go to your LW library, click on 'Incomplete Files' & then click Explore...your incomplete folder will open outside of LW. Keep that folder open, close LW & then check in Task Manager to see that LW is properly closed. If a LW process shows as running, end the process.
Once LW's properly closed, delete the file from your incomplete folder & see how that goes.

If that doesn't work, try deleting the files in safe mode, or use one of the utilities in this thread below.
Incomplete Download File won't delete at all.