Two points about this:
1. One of the LW 4.10.x versions had a bug which had this effect. I can't remember which one it was so I'd recommend updating to the latest version:
http://www.limewire.com/english/content/download.shtml
2. See
Downlds refuse to reload (click on link) for other reasons this can happen.
*3. Supplementary: if you can't find a solution, then go to the incomplete folder BEFORE you close your computer down & copy these 2 files to another location: downloads.dat & downloads.bak. Then the next time you want to use LW, put these 2 files back into the incomplete folder replacing the ones that are there, BEFORE opening LW. You'd need to repeat this entire process each time or each day.