Where are they going now? Did you change the location of your saved folder from the default?
You don't say what OS you're using, but for windows try this: Delete LW's preferences folder when LW is properly closed. See points 2 & 3 below
Fixes for LimeWire
This will kill all of your settings within options (you'll have to go through & reset things afterwards) & reset everything back to default, including the location of your saved folder.