I am not using XP or even the most recent LW at present on windows. So I hope this is correct, however the incomplete folder should normally go on same level as your save folder. In the most recent LW versions, that's also same level as the shared folder.

Most likely as such:

C:\Documents & Settings\username\My Documents\LimeWire\Shared
C:\Documents & Settings\username\My Documents\LimeWire\Saved ___ (I might be incorrect about this & incomplete folder.)
C:\Documents & Settings\username\My Documents\LimeWire\Incomplete

Previously it was:

C:\Documents and Settings\your username\Shared ___ (which contained both freshly downloaded & previous shared files)
C:\Documents and Settings\your username\Incomplete