There was a bug in LW 4.2.x about this. There were also security issues from LW 4.2 to 4.8.0 so I'd suggest you update to LW 4.8.1
If you have your downlds set to default settings, then go to Tools>Options>Saving & press the Default button & press Apply. This should fix it. If not then try deleting your LW Preferences folder whilst LW is closed; instructions here:
Fixes for Limewire