In LW tools > options > saving. Browse for the new location & apply > ok.

If you're a Vista user, check out these threads for more info about saving in Vista.
http://www.gnutellaforums.com/genera...ng-libary.html
http://www.gnutellaforums.com/genera...utside-lw.html

If for some reason changing location doesn't work, delete LW's preferences folder when LW's properly closed. 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
This will kill all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.
In case you're using Vista: LimeWire Pref Folder in Vista