Hi, Timothy -
Click on the Downloads folder or item in the Dock.
If you have that set to display as a Stack, it will open as a fan-array. Drag the items out to the Desktop - just click each item and drag it to the Desktop. Then toss them in the Trash or dispose of them in any other way you choose.
If you have that set for to display as a Folder it's easier - open the Downloads folder by clicking it in the Dock, then press Command-A (Select All in Edit menu), then press Command-Delete (Move to Trash in Edit menu). Caution - this will remove everything in the Downloads folder.
You can change the display of the Downloads item in the Dock by right-clicking or Option-clicking on it, then select the appropriate choice from the popup menu that appears.
If you mean the separate window that appears while you are downloading something, that's just a list - click the 'clear' button at its bottom to remove every entry in that list.