I got the same problem too.
Im using LW 4.16.6 and when I start LW again after a night's rest, LW says it can't find any old downloads.
It only says this after the PC has been shut off or restarted, LW can be shut off and started again, then it will find the old downloads without any problem.

It saves the incomplete downloads in C:\My Documents\Incomplete
In C:\My Documents\Limewire I only got a folder named Store Purchased (which is empty)

I do NOT have any folders named Saved or Shared in the Limewire folder, just the mentioned Incomplete folder.
The complete downloads are saved in C:\My Documents\My Video

If anyone can help me find a solution, thne it would be greatly appreciated
Thanks guys

LW 4.16.6
XP SP2
2.86 Ghz
512 MB RAM
Wireless ADSL
40 GB free HD