The recommended save location is as follows.
Default location is C:/Documents And Settings/your_username/My Documents
I don't use Limewire and haven't for several years, but if I remember right, If you save LW files in the "Program Files" location, they will get deleted when you shut down your computer.
Sounds like you may have other issues as well, so I wish you the best of luck, and let us know how everything comes out.
Just to add, It is VERY easy to get Infected using the Gnutella Network and Limewire. If you'll do a Forum Search, under security or the like, you'll find a ton of helpfull info, and also some FREE Malware and Spyware Scanners, that may help clean some stuff up.
Also, you should ALWAYS Scan EVERY File that you download, with your AV program before opening.
Good Luck