Actually your the second person that has reported this...Although itunes should have nothing to do with where the files are saved to
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Was itunes your default player before ie. did you play the songs using itunes ??
What normally happens is once you launch the file using itunes, it is then listed in the itunes library, but if you delete that file from either your shared folder or from the limewire library, the file will remain listed in itunes but cannot be played because it cant find the file to use...