My first question would be whether you've bought Limewire pro from the official LW website and paid $ 18.88 for it??
http://www.limewire.com/
If your answer is yes, then the procedure should be as followed. After receiving your personal download page mentioned in the email sent by LW, you should go there and download the installer .exe.....(if possible, after successful installation, save it somewhere where it can't get lost or deleted).
Then you should go and download (free) the newest version of Java (choose the JRE offline installer for your OS -i.e. XP, Mac, Linux).
http://java.sun.com/j2se/1.5.0/download.jsp
Install this Java before you install LW. To install LW, just click on the LW installer .exe and the installation process will start, in which you might have to confirm every now and then clicking "OK" or "Next".
That should it be.......after installation LW will ask whether you want to run LW (the box is premarked), just click finish and LW will start up. You might have to configurate your Firewall to let LW access the internet and the network.
http://www.gnutellaforums.com/showthread.php?t=51361 