OK so you set your downlds for a different folder than default. So reset it to your music folder & press apply. Your preferences might have become corrupt. If that doesn't work then try deleting your LW preferences folder as LW will recreate them next time you open LW. Try deleting your LW Preferences folder whilst LW is closed; instructions here: Fixes for Limewire

Why don't you use the computer's search engine to find your file. If it's not there then you probably did delete it. And no, not sent to the recycle bin but totally erased.