I don't have experience of iTunes, but most players work in the same way.

When you d/l music it automatically is associated with the player you use. But your player doesn't know the path to these new files - you have to search for it while in your player and launch the file, then it will be listed in your players library.

If you want to change your player at any time, you can re-associate all your files with any player of your choice.

Section 4 of the FAQ explains this..
LimeWire Troubleshooting FAQ

There is lots of useful information in the Troubleshooting FAQ if you take a look.

Hope this helps

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~Kath~
Always judge a person by the way they treat someone who can be of no possible use to them