For XP C:\Documents and Settings\your username\Application Data\LimeWire\themes.
The Application Data folder's hidden by default, so you'll have to show hidden files & folders first...start > control panel > folder options > check the 'show hidden files & folders' button > apply > ok.

For Vista C:\Users\your username\AppData\Roaming\LimeWire\themes
The App Data folder's hidden by default, so check out the thread below about how to show hidden files & folders & how to find the preferences folder in Vista (the preferences folder is named LimeWire & the themes folder should be within that).
LimeWire Pref Folder in Vista

Check out 6_pac's advice here: http://www.gnutellaforums.com/300145-post2.html