Do you have LW set to shutdown immediately (tools > options > system tray)? if not, try setting to shutdown immediately > apply > ok.

Which version of Java are you using? Try updating. Download the JRE offline installer & remove any other Java versions before installing this one.
Java SE Downloads

If that version of Java gives you problems (some people have had dramas with the latest Javas, I'm using the latest update & it's fine here), use this older version instead. Again, download the offline installer & remove any other versions before installing this one.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

If that doesn't help, delete LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will change all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.
In case you're using Vista: LimeWire Pref Folder in Vista