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To delete the actual downloaded files, do this please. In Finder or in desktop click on the Go menu in the top bar and select Home. This will open your home folder in Finder. Then open the Downloads folder and you will see all the downloaded files there. Select the files and press Command and delete. Or click and drag them to Trash icon at the dock.
If you want to delete them from the downloaded list in Safari, just select the files and press delete or Command and delete
If you have any questions or would like any additional information, please don't hesitate to ask
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