If you are trying to launch the file from within LimeWire - it likes to say this for file types it doesn't immediately recognise or for executable files. It is a warning that files downloaded from the gnutella network aren't guaranteed to be safe.

To open these files use Windows Explorer (or the equivalent for your operating system). It is sensible to run an anti-virus program across the files first - but this is true of any files you download from anywhere (even Micro$oft have distributed viruses on their CDs).

Mark