Had the same problem, sounds like many are having. Here is how I created a Shared Folder:

T00LS - OPTIONS - SHARING, if box is empty, add the directory that your MP3's are downloading to. Mine was C:\Program Files\LimeWire\Shared. Once I applied or added that to the box, my Shared folder now appears in my Library and I am able to play downloads etc. via the folder. Hope it works.