I finally got it working. Apparently LW does not like the root drive to be the shared folder. It will download to the root directory and share it for others to upload, but it will not put the incomplete folder there. I had to make a dummy folder on the D drive and tell LW to use that as the shared folder. At that point it would recognize the Incomplete folder on the D drive as where my old downloads were stored and then I could go into options and change the shared directory to just D: and it will keep D:\Incomplete as the temporary directory.

I hope this will help anyone else that may run into the same situation.