I move all my songs into a different folder after downloading them with Limewire.
I've never seen anything like the message you are getting. I have itunes and I just drag and drop the music files onto the playlist i want them to be in and everything works great. It sorta looks like a virus or trojan has infiltrated your computer and wants you to open a port to let it have full access to the outside world.
I would run a reputable virus scanner over your Limewire installation folder and the rest of your computer.. Especially if you didn't get Limewire directly from the Limewire home site. You can get freeware virus scanners from AVG or even use shareware version during their trial period to check your computer for any viruses or trojans.