I have an audio file that downloaded without error, but will not play and I am unable to delete. Error message reads:
The following files could not be deleted. They may be in use by another application or are currently being downloaded to.
Any suggestion in getting rid of this file would be appreciated.

Go to your Library window, find that file & right-click & choose stop sharing. Try deleting again. Else, close LW & delete it.

The reason you cannot play the file is either (a) lacking the correct Audio codec, else (b) deliberately corrupted file, else (c) a file (possible virus) masquerading as an audio file; Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)

If above suggestion doesn't work, you can check: Incomplete Download File won't delete at all (click on link)