The main culprit for this happening is generally that LW was not shut down properly before you shutdown your comp. Yes LW can take over a minute sometimes to close down properly. Make sure it's fully closed before your shutdown.
Comp crashes is another reason.

To be on the safe side, go to LW's menu Limewire>Preferences>Saving & reselect the downld location & press apply.

If it continues happening after taking the above precautions then either (a) delete your LW preferences whilst LW is closed (make a note of all your LW settings 1st.) They can be found here: /Users/your_username/Library/Preferences/LimeWire (delete the latter file called LimeWire!)
(b) Move up to the beta 4.9