Nope, but if it occasionally says that you have an invalid save directory, then you might wanna check it out. Go to the Preferences and under Saving or Sharing (I forget) you'll find where your dlds would be stored. Now, go to that location in the Finder and check if the folder does indeed exist or something.
You can also create a new Shared and specify that as the new saving location for LW's dlds.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-