that's probably b/c you changed the location of shared, or put shared within another folder. Thus the original downld path has changed. So yeah ... you'll need to change it back or you'll continue to have problems.

The path by default is: C:\Documents and Settings\"your account name"\Shared

If you changed it to C:\Documents and Settings\"your account name"\Beatles\Shared for example, then LW won't know where to move them to. Change it back to how it was.