Try this with one file to see if it works.

While in Limewire click on the library tab. Now click the Explore tab;Bottom left corner. This will take you to the saved/shared folder. Now Left click on any file. See file and folder tasks, left of your files. Choose either copy or move file. A pop up window will appear. Find My Documents and click on it. Now find my music and click on it. Now you can either copy or move the file. Click copy or move in the bottom of the pop up box and then just repeat the steps for each file.

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