Do not delete the file, when you have downloaded a music file from limewire, limewire saves it into a file. When you drag the music into media player and delete it from limewire, you are deleting the file that has been created, so your media player loses the file too. Basically, you need it in your limewire library (as this lists the files that are saved to your computer) in order for media player to read it and keep it saved. Don't worry, you won't waste twice as much memory by keeping them both open, they are read from the same file.

Sorry if this makes no sense, I tried to stop myself from spilling out too much technical rubbish, but it didn't seem to work............