Instructions
Press "Left" or "Right" on the controller to scroll over to the Network section on the XMB (cross media bar), also known as the PS3's Home menu.
Press "Up" or "Down" on the controller to scroll to Download Management, an option that appears only when you are actively downloading something to your PS3.
Press "X" to select Download Management. Here you will see a list of active downloads.
Press "Up" or "Down" to highlight the download you want to cancel. Select it by pressing the "Triangle" button, choose "Cancel," and press "X." This interrupts the download and removes it from your console.