Go to tools...options...saving
The window should have the folder listed where your downloads go right now. Go to this folder (outside of LW), select all of the files you want to transfer, and drag them into your 'My Music' folder.
Again, tools...options...saving
Click on 'Browse' and locate your 'My Music' folder
(C:/documents and settings/my name/my documents/my music)
When you select a new download location, LW will ask you if you want to share this folder. Your files should now appear in your Limewire library (whether you share or not).
Hope this helps
Dano