For general info about how to get started downloading, check the user guide & FAQ: LimeWire FAQ and User Guide

Once you've downloaded a file with LW, the file will be saved to your HDD. To find this saved folder, in LW go tools > options > saving...you'll see the location of your saved folder.
If you go to LW's library, click on Saved files & then click Expore...your saved folder will open. This folder is where you'll need to look for files when you want to convert them for your payer