The two files in the Incomplete folder are the bak and dat file of Limewire; don't touch them !! LW needs those files to write down which opart of which file it has already downloaded.
If there are no other files (except those both) then LW hasn't started to download anything.
The best thing for youy would be to start reading the manual, as suggested by LOTR. Go here:
http://www.limewire.com/english/content/userguide.shtml
Depending on your download speed, a music file with some 4-5 MB will need up to 10-15 minutes to complete the download.
