Basically, since you are in the process of d-loading, whatever bittorent client you are using has locked the file from you doing something to it.
If you are using BitTornado, go to "Prefs" on the top of the client window, then click "advanced" button on the bottom, and under "file locking" choose "no locking". I'm sure other clients have similar options.
Or you can cancel your download, put the completed file somewhere else, and then start the download again and tell the client to "never download" that file. Another way is to quit the download, and then copy and paste the file to some other folder then watch it.