Tools|Options|Saving and Tools|options|Sharing need to both point to your download directory in order for your downloads to appear in the Library.

The default place for downloads is Program Files\LimeWire\Shared.

LimeWire should, by default, point to this location without a need for you to do anything. However, it appears there may be a bug in the current version that doesn't create one of both of these links. You'll need to go to the above options and make sure that this directory is referenced in both places.

Mark