I ran into the same problem when I first started using LimeWire. As it turns out, the default behavior is to delay exit until any pending upload/downloads complete. If you want LimeWire to quit immediately whenever you tell it to do so, go to the "LimeWire" menu at the top of your screen, choose "preferences", then click on "shutdown". You should see two choices on shutdown behavior. You will want to choose the first one: "Shutdown Immediately".