Linux cannot open "exe" files unless you get an additonal program to do so. (Wine, Cedega, Cross Over Office are a few). LW does however have a version that you can download that Linux will open natively. You can find it here: http://www.limewire.com/english/cont...loadfree.shtml
Just make sure to download the Linux one.

If you need help installing it follow my instructions in this post:
http://www.gnutellaforums.com/showth...threadid=31975
Any questions just post here, and I'll help when I can.