You should see a little LimeWire icon appear in your system tray just after the LimeWire window appears -- it's a little green plug in the corner.

When you exit the program, you should see a dialog window asking you whether or not you would like to keep LimeWire in the system tray. If you answer "Yes...", the LimeWire icon should remain. It should also display a menu when you right-click on it and bring up LimeWire when you double click.

If this is not the case on your system, then there may be some problem that we are not aware of.