First, in winamp, to play the song, its already been d/l'd to your hdd. After you select download from limewire ... look to your default save directory (tools > options > saving (top of left column)). Open that directory and there are the mp3's that you've downloaded.
when you try to "save" a file from winamp ... it doesn't save it as a mp3 ... its trying to save a playlist. Basically .... dont save from winamp.
Have you considered music match jukebox v. 7.1 I like it a lot better ... however, again ... personal preference.