No man, what is specified in the Preferences under saving is where the completed dlds will end up. LW creates an Incompletes Folder (normally somwhere in proximity with the Shared folder) and stores the Incompletes there, but under Preferences you can specify the shared folder, not the Incompletes' one.
Now then, what you have to do is to, either create a Shared folder somewhere and then specify that as the Shared folder in LW's prefs, or try finding the old Shared folder (if there was one to begin with) and respecify that one in the prefs.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

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