Thanks for the upload and I think I can solve the "directory not empty" message you're getting.
First, make sure the Fusion application and GUI are shut down.
Next, find the VM in the Finder - it looks to be in your Downloads folder. (more on that in a second).
Once you've located the VM, right click on it and select "Show Package Contents". A Finder window will open showing all the files that make up your virtual machine.
You should see a folder in that window named "Virtual Disk.vmdk.lck". That's the lock file that didn't get cleaned up and is preventing you from powering on the VM. Move that file to the Trash, close the Finder window, and empty the trash.
Before powering on the VM, one comment. The Downloads folder is not the best place to store a virtual machine. A better place is the default location - a folder named "Virtual Machines" that you will find directly under your home folder. You should be able to find it by going to the FInder's menu bar, clicking "Go" and selecting "Home". Open a second Finder window, navigate to the Downloads folder, and drag the virtual machine from the Downloads folder to the Virtual Machines folder (that will move it rather than copy it).
Once that's done, let's tell Fusion to forget about the old virtual machine. Open Fusion, right click on the old virtual machine that's in the Virtual Machine Library window, and select Delete. Don't worry, in this case it won't do anything other than forget the original virtual machine. In other cases it will ask you if you really want to remove the virtual machine's files, or simply forget about it.
Now let's add the virtual machine back into the Virtual Machine Library. There are a couple of ways to do that, but in this case we'll select File > Scan for virtual machines... from the Fusion menu bar. You'll then a window named "Scan for Virtual Machines", and listing directories that it should scan to find them. The default Virtual Machines folder should be in that list. If not, hit the + sign, and use the file navigation box to locate your home folder. The Virtual Machines folder should be found in that folder. Select it, click Open and the folder should now appear in the list.
Once you've verifed that the default folder location is in the "Scan for Virtual Machines" list, click the Scan button. The virtual machine you moved should now re-appear in the Virtual Machine library.
Now power on the virtual machine -- the "directory not empty" message should not re-appear. You should then be able to start the Windows installer (remember that "press any key to boot from cd or dvd" message is on a 5 second timer....).