no problems.
LimeWire is doing all it can to make sure people know that LW is not responsible for the stuff shared on the network, so that's why the message sounds scary.
Some media companies want LimeWire to only be used for licensced files, but there aren't many out there yet.
Try to figure out if the file you want to download is legal where you live--the copyright laws vary from country to sountry, and LimeWire is used by people from many parts of the world.
Sorry I can't give a nice clear answer--I'm not a lawyer