That does sound odd. On the Mac version LW, the preferences are found under the LimeWire name on the very top toolbar (next to the apple icon at far left.) Else a keyboard shortcut is ⌘ , which finds the preferences for most Mac OSX programs.

Options I can think of are: 1. You chose to download the particular file to a different location using the control-click options.
2. The files didn't actually complete downloading & show up under a slightly different name to what it showed in LW.
3. Same as previous except the files did finish downloading. 4. The files didn't complete & you pressed the Clear Inactive button.

Don't forget for fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you. You can do that with both the Saved Files Folder & your Shared folder or whatever you renamed your download folder to. You could also check your incomplete folder. Put the folders into list mode, then arrange by date modified so the most recent ones show at the top of the list in the folder.