it`s easy. go back into the market and find the app and this time instead of clicking install there should be cancel download if you have already started the download process.
Hmm. try this. Hit the menu button and I think this brings ups what is downloaded. On the bottom of the screen should be a "cancel download" that you can press.
There should always be a notification on the notification bar for a download...i think even on 3rd party apps. if that fails to work you can always force stop the application in question under settings.
by now....the download is surely finished anyway so.....just for future reference!
Dj.