I think I messed up my computer? :(?

I tried downloading this game called "Vindictus" and ever since then my computer has been really slow. I dont know how to take it off my computer. Its not on the "Add or remove programs" list so I searched it and it found it as a "Downloading file" but it wont let me delete it. It keeps saying "You cannot delete this file it is being used by another person or program. Close any files that may be using this program and try again." But there arent any programs using this! Well.. also when I searched it another thins popped up as an "Application" and its the Vindictus thing. So do you think if I delete the other thing (it will let me its already in the recycle bin) than I can delete the other thing? But even if it DOES work does deleting it PERMANENTLY remove it from the computer? If not how can I ?