I did create a new folder within limewire called Downloads to save my downloaded files. I searched my computer for the file names and it could not find them....

Are you using Vista? A few Vista users have had problems finding their files...check out these threads for more info.
http://www.gnutellaforums.com/genera...ng-libary.html

http://www.gnutellaforums.com/genera...utside-lw.html