Q: why won't it move something that says downloading to trash

It can't be moved to the trash until the download finishes and the file is closed.

There should be a way to abort a download but I don't know how since I've never needed to do that.

Generally the Apple STOP code is command-. (that's pressing command and period at the same time). You might have to press the sequence more than once but Apple uses standard code sets for programmers and just as command-O opens and command-P prints, command-. says "Computer- user wants to halt process".

Relaunch the Finder.

OS X: How to quit an unresponsive application using Force Quit