Your problem might be that when Limewire starts, it isn't in the right directory. Instead of making a link, you could try writing a simple shell script that will change the path, /then/ start Limewire, and then link to that with a pretty LimeWire icon. Here's a sample shell script, of course all the directory names etc. might be wrong...

#!/bin/sh
cd /usr/local/limewire
runLime.sh

That might be it, but it might not. Worth a try tho.