LW won't d/load directly to your player. You'll have to move them manually.
Try this:
Hook up your mp3 player to your computer. Look under "My Computer", your player should be listed there. Double click on it and it'll open your player. Now open the folder with your files in it(go to your library page in limewire hi-lite the section with your music files in it and click the "Explore" button).
Then just drag and drop or copy and paste them onto your mp3 player.
A little more detailed explanation here:
http://www.gnutellaforums.com/open-d...tml#post304581