There was a bug in LW 4.2.x that caused this but it's been fixed. If it happens with LW 4.8.1 then it's a preferences setting issue most likely. Go to Tools>Options>Saving & press the Default button & press Apply button. Hopefully (if everything was previously set to default) this will solve the issue.

Either that or Try deleting your LW Preferences folder whilst LW is closed; instructions here: Fixes for Limewire