When in LimeWire click on Tools>Options>Saving. Now look at the folder(s) that your files are being sent to. If it is not the folder that you want then click on browse and search for the folder you do want. Then click apply at the bottom right hand corner and then click OK which is just to left of it. This should fix it. However if the folder is already the correct one then you may have to delete your LimeWire preferences folder. Check out Points 2 and 3 here.