Wessie: I still don't know what to do with Chunk File :/
They are temporary files generated by the downloader that end up being combined into larger files once the download is complete, after which the chunk files ought to be deleted. I say ought to, because sometimes it fails to delete them. I've only used the downloader once, for The Witcher 1. It consists of an .exe file and five .bin files. Afterwards, the downloader deleted all the chunk files, except, for some reason, for the ones from .bin file #3. I assume the downloader code just isn't completely mature yet, and still contains minor bugs.
At any rate, if your download is finished, and the file the chunk files belong to is complete, you should be able to safely delete them. You can tell which file they belong to by the filename.