There is probably a bug in the current version that doesn't correctly include your download folder...

Tools|Options|Saving and Tools|Options|Sharing should point to a folder that you want your downloads to go to. If either of these has no entries or 'Sharing' doesn't include the 'Saving' folder then you will need to add appropriate folders.

The default (under windows) share/save directory is Program Files\LimeWire\Share.

Mark