In the options under the saved tab you will find out which folder you are saving your downloads to. Open that folder and create a new folder in Windows and open that too. Then you just move your files to the other folder. Now they won't show up in the saved files in the LimeWire library.

P.S. If you are a nice person that isn't a freeloader. You will go to the sharing tab in Limewire options and add the new folder folder

P.P.S. To prevent malware, downloaded by accident through P2P networks , from speading to others, it might be a good idea to remove your saving folder from the shared folders, and only move your new downloads after checking them first. Scan before opening, thats my rule. Better safe than sorry.

Hope this helps

Oh, another hint.
Instead of dragging musicfiles to WMP, you can ask it to keep an eye on your folder, than they will be added automaticly, saving you alot of time