What location have you chosen for saving downloads? I assume you're using LW 5

Go tools > options > advanced > files. Click on the 'Configure' button beside Download Folders & check the location of download folder(s) there. Click ok to save any changes.
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.
LimeWire Pref Folder in Vista