Right click your shortcut on your desktop, and click properties. In the box that pops up, your Target should look something like this:

C:\WINDOWS\javaw.exe -cp . RunLime

and the Start in should be something like:

"C:\Program Files\LimeWire 1.6d"

If these looks different, try changing them. A common error is that the target reads:
C:\WINDOWS\SYSTEM\javaw.exe -cp . RunLime
Also, your installed program folder may be called something different, so remember to take that into account if you decide to modify the shortcut.

Post again if you continue to experience problems! :-)