It means you have the file of the same name in either your download folder or your incomplete folder. To solve the problem use the Save As ... option which will show. Whether it's the same or not, at least that will give you the option. Otherwise, try deleting your LW preferences whilst LW is closed & see if that makes a difference;
Point #2 & 3 in Fixes for Limewire (sample image included at bottom of page.)