I'd suggest this: Try deleting your LW Preferences folder whilst LW is closed; instructions here: Point #3 in Fixes for Limewire (sample image included 2nd last post of page.) But make sure you back up the Downloads(.dat) file.

To find where your files are presently, right-click on any of the audio files in your library and choose Locate on Disk. This will take you directly to where the files are stored.

I'm guessing you may have accidentally changed the location of where your LW downloads are sent to. Setting Transfer location to default might fix this via LW's tools menu -> Options -> Transfers, however deleting the LW preferences will also have same effect.