Which operating system are you using? How did you initially try to delete it and did you get a message?
Did you try dropping it into the recycle bin and deleting it from there?
What options do you get when you right-click on it?
Does the download appear in your "Downloads" folder?
You could try to re-name the file. I don't know your OS but if you right click do you get the "rename" option or do you get "Properties". If you get properties you will see the text for the name of your file - see if it will let you change it.