You can't delete them (they are actually on the other person's computer). Check your iTunes preferences to see if you can stop iTunes looking for other's shared music, or just try dragging their icon off your iTunes list.

I did "hide" the shared files but they are still there - if I open the shared files this limewire file opens. I can't delete or move the icon or folder they are in. How can they download without being connected to internet or having limewire running? Wierd.