Bri, The files go on your HDD and are in the shared/saved folder, outside of Limewire. To find the shared folder, go to the Limewire library and click on Explore; bottom left corner. This will take you to your shared folder outside of Limewire, assuming you are using WXP.
If you are refering to some other folder than you can drag and drop, move, or copy, from the shared folder into what ever folder. Hope this helps.