All your downloaded files should be by default in Limewire/Shared folder on your hard drive, the Library is just a reflection of what is in there.
I don't use the newer versions of Lime with the integral player but I believe you can specify a player of your choice.
Also there is some information on how to associate your files with the player of your choice in the FAQ. Section 4.3
LimeWire Troubleshooting FAQ
Good Luck