I forgot about this issue until now.
You can find and open (with WordPad) the limewire.props file within the LW preferences folder and find this line: DIRECTORY_FOR_SAVING_FILES=
Change it to whatever location you prefer. For example:
the default is either:
DIRECTORY_FOR_SAVING_FILES=C\:\\Documents and Settings\\Username\\My Documents\\LimeWire\\Saved
or
DIRECTORY_FOR_SAVING_FILES=C\:\\Documents and Settings\\Username\\LimeWire\\Saved

changed to:
DIRECTORY_FOR_SAVING_FILES=C\:\\Documents and Settings\\Username\\My Documents\\Downloads\\LW Downloads
Notice there needs to be a double slash between directories.

Likewise you can manually change the download location of the media types by inserting extra lines into the props file. This also works. Example:
DIRECTORY_FOR_SAVING_video_FILES=C\:\\Documents and Settings\\Username\\My Documents\\My Videos

DIRECTORY_FOR_SAVING_audio_FILES=C\:\\Documents and Settings\\Username\\My Documents\\My Music

(But no blank lines between each line!) Don't forget to save the document keeping the .props file extension. And make sure LW is closed before you attempt this and not sitting in the Tray.

I know this is a hassle way to change the download directories, but since most people do not change them often, you will only need to do it once.

* Note: the folder must already exist before you make the above change. If it does not exist, create the folder first.

Oh and you might want to change DIRETORY_FOR_SAVING_LWS_FILES= to something else. It is a totally unused folder now because the LW Online Shop no longer exists. Perhaps make it same as your regular download folder and delete the original. (The Diretory misspelling is in the original LW code.)

There is a method for forcing LW to keep its incomplete files wherever you choose, not necessarily beside the download folder which it does by default. (If you use different directories for media types, then by default the incomplete folder usually moves next to where the audio downloads are. ie: same parent directory)
There is an alternate way to set the incomplete download folder location but is a little more complex.

I would love to do this but i do not see limewire.props file in programs/limewire/

I do see a language.props file but when i open it in wordpad. it has 1033 ...thats it?

Just install win 8. It connects and download but when i try and change desination folder... it freeze..

*update*

Just figured it out..... for noobs... Go to Search, click on programs and type Run into the search box. Open Run and type in %appdata%