Goto Tools|Options|Saving and look at the folder listed there (if there isn't one - enter a location you would like LimeWire to download to).

Now Goto Tools|Options|Sharing and add the path you found above into this location.

The default share location (under windows) is C:\Program Files/LimeWire/Shared

Mark

P.S. - I don't know about others - but I will only answer questions in the forum, this allows others to see the answer if they have a similar problem (This is a particularly common problem and has been answered many times, in more depth).