What you do: tweak your startscript:

#!/bin/sh
#
# Runs LimeWire. This script must be executed in your LimeWire
# install directory.
#
# We must set the J2SE_PREEMPTCLOSE environment variable to 1 to
# work around some limitations in the JDK1.3. For more information
# see http://java.sun.com/j2se/1.3/relnotes.html#vm
#
J2SE_PREEMPTCLOSE=1; export J2SE_PREEMPTCLOSE
cd $HOME/LimeWire
java -classpath . RunLime

---then go to the desktop,
Right mouse on the desktop -> create new -> Program
-> Enter program name, choose application (runlime.sh)
..thats it.