If your computer was writing to the hard drive at the moment power was lost, there could be file damage. In general, the IO controller is designed in a way to self correct such errors, but sometimes it isn't possible. Why would you run into the BSOD even though the only problem you seem to have is with deleting the partially downloaded file? The damage may not be isolated to just your downloaded file. Some hard drives can accidentally overwrite existing files in the split second of losing power, if they haven't been designed with strong enough safety protocols.
In short, as Rich pointed out a system restore may fix your problems, at the very least help prevent the BSOD from appearing. It is possible that it may roll back the partially downloaded file as well. But if it doesn't do the trick, there are some other things to try. You should run a disk defragmentation, as this might help fix any damaged file references. One last thing... you could try moving all healthy files out of your download folder, then delete the download folder in hope of the act taking with it the damaged download file (this way you're not explicitly trying to delete the file--the system will reference it via the act of deleting the folder).