Are you sure that you're not clicking on the installer icon by mistake? Try going into All Programs, click on LimeWire & see if it opens from there.

Did you download LW using the online or offline installer? Try the offline installer...go to the download page, click to download LW, then when the dialogue box pops up asking whether you want to save or run...close the box or click 'cancel'. You'll see an option to download again or to use the offline installer. Take the offline installer.

For info about deleting the preferences folder: See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire