If you close Limewire the download window will be empty next time you open Limewire. If you click on Remove innactive, all the completed downloads (and "awaiting Sourses") will dissapear from the window.

This is only a record of the downloads, like a download windfow for a browser.
The downloads should be where you wanted them to go. If you do not know where that is go to preferences/options> saving and this should tell you where your downloads are.

I hope this helps