You can use the "Explore" button on either LW's download Pane or LW's Library Pane to go to the folder where the tracks are saved. From there, you can drag them to whatever place on your computer that you want.

It might be easier to just point your music player to LimeWire's Save folder though.

Also, right-clicking a track before downloading will give the chance to select the saved location for just that track.

So, hope one of those options is what you wanted. Cheers