Are you making sure to click Apply > ok after you choose a new save folder?

Close LW & make sure that it's completely closed (check in Task Manager - if there's a LW process running, end the process).

Now delete LW's preferences folder... see point 3 here & also point 2 if you've
ever 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.