if Windows Media Player is configured its files to go into the "My Music" folder then you can direct your music from limewire to download direct. Go to options and in the sharing area put this:

C:/Documents and Settings/Your Account Name/My Documents/My Music

If you enter that limewire will save all your downloaded files there and when windows media player opens, your song will be in the "All Music" (or whatever) folder.

(Anything you download thats not music or videos, they will not be read in Windows Media Player so that folder would be your saved files folder.)