Not sure why this happens occasionally for some people. But you can just delete it from the download window, go to Library window, select incomplete folder & press Explore button. Then move the file(s) in question to wherever.

To stop it happening again ... good question. You could make a note of all your important settings in Tools>Options, then close LW & delete your LW prefs to see if that helps. Once you delete your LW prefs folder you'll need to reset your options just like you did when you 1st installed LW. Try deleting your LW Preferences folder whilst LW is closed; instructions here: Point #2 & 3 in Fixes for Limewire (sample image included at bottom of page.)

I can only guess another reason might be LW was too busy at the time. Moving the file if it's a very large one does use a lot of LW's resources. If you don't already have it, make sure you have the latest LW version.