Your incomplete folder 'follows' your saved folder. Say if your saved folder was H:\limewire\saved then your incomplete folder will be H:\limewire\incomplete.

If your saved folder was C:\ilkiedownloading then your incomplete folder would be C:\incomplete

So if you want to change the location of your incomplete folder, you'll need to change the location of your saved folder (there's nothing within LW's options to change the incomplete location, because it should just follow your saved folder).