BTW if you have a version 4.10 older than 4.10.4 then you may need to update. A small bug crept in which had this effect. See
http://www.limewire.com/english/cont..._history.shtml
Normally this won't happen unless, you don't close LW properly before shutting down the computer, or you accidentally delete the downld preferences called download.dat, or you jump back to a much earlier version, or your computer crashes whilst LW is open.
Before shutting down the computer, control-alt-delete & open task manager & make sure LW is closed before shutting computer down. If it's slow to close, then it's either due to your settings or there's something about your set up LW doesn't like. Setting LW to close down immediately should fix it but not necessarily if the problem is with something like java.