Do you mean that you can't download the limewire.exe (installation problem) or do you mean that you can't download .exe files in general????????????

If it's the latter, be very careful when downloading exe files from the network. Check file size before downloading & scan with your AV before opening. See the sticky below for more info
WARNING: Viruses on the network you should be aware of

If you can't download the limewire.exe to install the program, have a look in the installation problems section...
http://www.gnutellaforums.com/forumdisplay.php?f=44

...or use the forum search to see if your question's been answered already.