I'm sure you've already done this, but try searching for 'Limewire' in Sherlock (command F) and see if it turns up your Limewire folder. If it does, select the Limewire application icon, press command M and drag the alias onto the desktop and away you go.

If the Limewire folder is not there and you've gone through the installation process without any errors then that's very odd. In that case I can only suggest trying the installer again.