Have a look on your desktop. If it's not there, do a search using 'Find' (CMD+F) for the file. After you uncompress the file, the installer will probably open up onto your desktop. Make sure you have the most recent version of Java for OS 9.2.2
(MRJ 2.2.6 found at: http://docs.info.apple.com/article.html?artnum=120209)
I think I misunderstood your question. When you choose to install, it will ask you for a location (it may have a default location set, but you can change this.) If you've already installed it, again, use 'Find' & search for 'Limewire'. If you don't like its location, drag it wherever you want it to be. After opening, go to your LW Prefs/Options & set (/double-check) your LW dwnld folder, connection type, etc.