If you are using Windows Vista, right-click the installer & choose
Run As Administrator.
Also, check this installation approach:
http://www.gnutellaforums.com/333278-post2.html
If all of that fails, try this version:
Download ‘Other’ version & simply unzip & use! (now called
Other Systes (OS/2, Solaris, Linux) & found on the Releases page
Get LimeWire for Your Platform - Lime Wire)