You need to actually select the
My Music folder when adding by folder.
I presume your music is in there? Else it could be in your Limewire -> Saved folder.
C:\Documents and Settings\Account name\My Documents\My Music
or for LW probably C:\Documents and Settings\Administrator\My Documents\LimeWire\Saved
You could of course move the music files from LW's download folder to My Music folder. But would hope you'd add that folder to LW shares.
Image sample below is WMP 10 on Windows XP:
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