It sounds like you may have changed the "saving" location to C:\, but haven't added it to your shared folder (which would not be good as it would share your whole hard drive). Just double click "my computer" on the desktop and go to the C: drive. If the files you downloaded aren't there, try navigating to C:\Program Files\LimeWire\Shared and they should be there. If you are using an older version of windows, like 95 or 98, you may need another program to play the file. both Winamp and WindowsMedia Player are excellent choices.

Cheers!