In LimeWire --- tools>options>saving ---- you can click browse, and select the folder you would like to save to.

In LimeWire --- tools>options>saving --- This is the location the files are saved to, once they complete downloading.

You can use windows explorer also to locate that folder. Once located you can drag and drop the files to another folder if you wish. That includes C: drive

I'm not sure where there might be confusion, unless you typed in the location, and that folder location doesn't exsist, or the folder location is not the same as the one you added to share, in which case you can follow the instructions in the 1st paragraph.