Sounds as though your LW preferences might be mucked up. Make a note of all your LW settings & then delete the LW Preferences folder. See how here: Fixes for Limewire

You will need to reset your LW download folder to the same one as it was before. In future in cases like this when it happens, go to LW's menu Tools>Options>Saving & reselect the folder you downld to & press the Apply button. If it doesn't fix it then close LW & delete the prefs as detailed above.

(Remember if LW had nowhere to move the file to then it will still probably be in the incomplete folder!)