Downloaded documents are written to the location specified by the Download Directory setting in the Download Manager or the Settings Dialog. To delete downloaded documents, right-click a downloaded document in the Grid View and select the Delete Downloaded Documents menu item. The default action is to delete a single downloaded document. You can also delete all the downloaded documents currently displayed in the Grid View.
See Delete Downloaded Documents from Older Version for various methods of deleting downloaded documents and recovering deleted documents.
When you enable the Shared Downloads feature, you cannot delete any downloaded documents. The shared documents may still be in use by others. Hence, these are not allowed to be deleted.