That is very strange that you would be getting that error. Does the "Start in" value of the properties of your shortcut correspond to the directory where you installed LimeWire?

It definitely sounds like a classpath issue.

You could try changing the shortcut target from:

E:\soft\JavaSoft\JRE\1.3.1\bin\javaw.exe -cp . RunLime

to:

E:\soft\JavaSoft\JRE\1.3.1\bin\javaw.exe -cp .;collections.jar;LimeWire.jar com.limegroup.gnutella.gui.Main

(that should all be on the same line, the window may have wrapped it, however).

That should probably work. Also make sure that the "start in" directory for your shortcut corresponds to your LimeWire installation directory. If it does not, try only making that change before making the change above. If that does not work, include both changes.