mldonkey keeps a cache of open files (usually around 100) to share the file descriptors between clients, and to avoid closing and reopening them all the time.
If you delete or move shared files, you may experience something unexpected: the disk space is not instantaneously freed. This is because an open file can exist without any filename under Unix. close_fds will discard the file descriptors cache, closing all files, and (finally) freeing the disk space.
close_fds doesn't free disk space, another program (not mldonkey, but your avi previewer perhaps ?) might be keeping the file open.
Check this with
~> lsof -n||grep _~mldonkey's download directory~_.
The _lsof_ program should be run as root. Check your distro's software directory if it is not already installed.