Summarize the following:
You can quickly access this by pressing the Windows key + E and then selecting the folder. Most of your programs will place downloaded files in the Downloads folder. Some programs will create their own download folders. If you know the program that you used to download the file, check its settings to see where files are being saved on your computer. If you can't find the file in your Downloads folder, but you know the name of it, you can use Windows Search to try to find it. Press the Windows key and type in the name of the file. If Windows can find it, it will be displayed in the search results. If you downloaded the file recently, it may still be listed in your web browser's download manager. This will allow you to open a window directly to the file you want to remove.  Chrome - Press Control + J. Click the "Show in folder" link for the file you want to delete. Firefox - Press Control + J to open the Downloads section of the Library. Click the Folder button to open the folder that the download is located in. Internet Explorer - Press Control + J or click the Gear icon and select "Downloads". Click the link in the Location column for the file you want to delete. Alternatively, you can select the file and press Delete, or right-click on the file and select "Delete". If your file cannot be deleted, it is because it is in use by another program. This is most common with file-sharing programs, as someone may be trying to download the file from you. Close any programs that may be using the file and try again. If Windows will not let you delete the file, it is likely because it is in use by another program. This is typically the case if you downloaded the file through BitTorrent and are still seeding it, or you have already opened it in another program. Close any programs that may be using the file and try again.  Click here if you're still having trouble deleting the file.

Summary:
Open your Downloads/My Downloads folder. Find the file that you want to delete. Run a search for the file if you know the name of it. Open your browser's download manager if you can't find the file. Drag the file to your Recycle Bin. I can't delete the file.