The help screen says just hit "edit" then "delete" but you can do that because when you hit "edit", "delete" is grayed out and it says only queue or failed downloads can be cancel.
If you are trying to delete a program you downloaded
DVR > 5 (Dish Online) > 1 (My Downloads) > Edit >
Highlight and select the program(s) you wish to delete. >
The Delete button will "light up". > Highlight and select Delete.
What would happen to the downloading if you reboot the receiver?
I came across this issue a couple of days ago. I started to download Caprica. After it started, it showed over 10 hours to download a 50 minute show. Tried to cancel and got the same you did. So I unplugged my home plug from internet. All that happened was it stopped the download then resumed after reconnect. Unless and until Dish can speed up this process, I probably won't use this feature, especially since we have Netflix and a Roku box. Guess you would have to try a reboot and see what it does.