The message you are seeing usually occurs when the files are still in the download queue. Clear the download window and then delete them from the Library/Incomplete.

An other time this will happen is when an OS X program was viewing them. In this case, quit all other programs (like iTunes, Preview, or QuickTime) before deleting them from the Library.

More rarely, restarting your Mac is needed to clear whatever is trying to keep those files open.

Lastly, with LW not running and the incomplete folder in the trash, you can delete the "downloads.bak" file in your home account's Library/Preferences/Limewire folder.

Thanks!! I had already tried the first two options, but the third one I hadn't and it worked. Thanks!