Just a thought, but might it be that since the downloads were cancelled part way through, as far as Windoze is concerned they're 'in use' by any download management software which loads at system start up and which is then waiting to resume them?
If you have any such software, try finding the files via it and, if they're listed there as pending, cancel them and then try again to delete.
Alternatively, boot to safe mode and try to delete them. It's quick and easy to try and often does the trick.