Based on the small amount of information you have provided you may have one of two issues.

1) If it indicates the download is complete then you should check the following - under Tools / Options/ Saving is the location to which Limewire moves files when they are completed... that is where they will be when completed.

2) The other possibility is under Tools / Options/ Downloads is the checkbox option to clear a file from the downloads display when it is complete. This check box should be checked.