I believe it's related to Vista permissions. Check the following link, particularly re: installing http://www.gnutellaforums.com/genera...ta-issues.html
Vista has some odd behaviour compared to earlier Windows OS's & it's not always easy to know where the problems lie.
But I have heard of something similar to your problem but not identical, can't recall. Might also be worth checking about the preferences thread link at the top of that thread.

BTW the new version LW installs the download & shared folder separately & variation in the directory location depending on whether it's using new or old preferences. It might even be worth deleting your old LW prefs folder. It's highly recommended to delete your previous LW prefs folder when upgrading to Pro.