See http://www.gnutellaforums.com/showth...149#post162149 as it describes reasons for this happening. Another possible reason is you've accidentally deleted the Download.dat file in the incomplete folder.

ie: Make sure LW is totally closed before shutting down your computer. If it isn't then it will corrupt the downld preferences. Wait at least a minute before shutting down computer. Also, you may want to make sure you have downlds & uplds set to shutdown immediately. Go to LW's menu bar, Tools>Options>Shutdown & check this option.