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I'll be glad to try and help answer your question. I need a bit more information from you:1) What program are you using to download with?2) What version of Mac OS X are you using (go to Apple menu > About this mac)?
Okay, try this. At the bottom of the screen in the dock there should be a folder that says "Downloads" when you move the mouse over it. Click once on this folder and it will expand upward. From there, you can drag files that you see there out of the folder and into the trash can icon next to it.Once you have dragged any files you want to delete into the trash, go to the Finder menu and choose "Empty Trash"Let me know how it works.