Limewire creates a "shared" folder on start-up to store the downloads. Try a Finder search using cmd-f (or Sherlock), or else search for the name of the file you downloaded. (It's been a while since I used LW on OS 8.6, but I think the shared folder is inside the Limewire folder).

If this doesn't help, search the General Mac Support forums for "8.6"
Here's one link that might help: http://www.gnutellaforums.com/showth...threadid=19292