Choose Tools > Options from the LimeWire menu bar.
Choose Saving in the left column.
Click the Browse button and browse to your My Music folder (e.g. go to My Documents, click on My Music, and click Select).

Then in the left column, click Sharing, click the Add button, and add your My Music folder to the list of shared folders.

If you'll be sharing WMA files, be sure to add wma to the list of shared Extensions. Otherwise, they won't be shared. (Syntax is each extension separated by semicolons, no periods).