If the above fails, or you want to try something simple first,check that their names are in characters your installation of windows recognizes. If not (eg, odd characters, or foreign fonts, maybe not installed on your computer) rename them, then delete.
'nother poss option: open the (p2p?) application used to download them. Navigate to the library of stored files in that program. Delete them from there. Might work. Should work. Well, it has with me.