So, that folder is completely empty now, assuming you have downloaded
nothing since you formatted the disk. The only possible answer seems to be a worm.

Was LimeWire running at the same time?

No i download a movie ,if i just have music or a program it will not do it
only when i have moives in it that it will do itand if i share other files folders
that have movies in it they will start todo the same thing.any folder that has movies in that i put to share on limewire will start having windows telling me that for security it needs to close the folder and i have to click ok and it gone.

And limewire can be runing or not it the same.

Don't click OK. You don't have to. Not yet.

1. Hold down the Alt key and press the Print Screen key instead.
2. Then open Paint or any other graphics program and
3. paste the image into it and
4. save it as a jpg file.
5. Reply to this message and
6. press the Go Advanced button below the message box
7. Press the Manage Attachments button (a small window will open)
8. upload the jpg picture.
9. close that small window and
10. press Submit Reply.

Follow the instructions when that error message pops up and you will be
creating a new jpg file showing us the error message. Once we can see what is
really going on we are a step closer to a solution.

Maybe it's a bad file, this has happened to my shared folder before and it always seems to be with a movie file...
I think you need to find the file and delete it off your system..
I have a Divx file that I just downloaded yesterday and for the life of me I cant get dvdsanta to burn it, it keeps popping up with santa needs to close, yet other files burn fine...
It's just one of those things...