Hmm, that's odd. Try force quitting it & reinstall (Control-alt-del & open process manager to do this.) I would recommend the "Offline" version which is 2nd on the download page. That way you're not installing whilst waiting for the files to be sent over the internet. With the offline installer, all necessary files (except Java) are within the installer on your computer. In fact, I would also recommend installing Java offline
before you install LW. Get Java here
http://www.java.com/en/download/manual.jsp which is about a 15 MB download. And of course, get the offline LW installer from here
http://www.limewire.com/english/content/download.shtml