Where are you trying to save the new directory to. If you'e using XP you may be trying to put it somewhere you don't have permissions for unless you're the admin of your system.

The save directory cannot be set to the desktop or to the root level of a directory. I doubt you'd be able to set it to within the incomplete folder (not wise anyway) & not in a system directory.

Don't forget to press the Apply button when you change any options such as save directory.

If still failing, make a note of your option settings & then close LW. Then delete your LW Preferences folder called .limewire & found here for Windows NT 4.0 / 2000 / XP: C:/Documents And Settings/your_username/.limewire or for Windows 98 / ME: Your .limewire folder is in "C:\My Documents"