Not Share new folder. Share folder.

Go to LW's menu bar, Tools>Options>Share & choose option to Share finished downloads. Press the Add button & choose Shared folder which is normally found here C:\Documents and Settings\"your account name"\Shared

But if your shared folder is listed in the library then my guess is it's already being shared. Don't confuse Shared with Saved folder.

What colour were the files inside the shared folder? If red then right-click & choose share.