How do you permanantly delete downloaded WMP files?

I was downloading some movies that I watched in WMP. I never saved any, just linked them from various sites. Do those files stay on my computer, or when I clear my Windows Media Player video list, is the file gone. I watched about three movies all near 2 hours each, and dont want the memory of my computer to suffer and I dont plan on watching those movies again. Again, I never saved any of them, but WMP says 100% downloaded, and I want to make sure that those files are deleted due to space on my computer. Thanks.