What OS are you using? Your details are very vague! See http://www.gnutellaforums.com/announ...?s=&forumid=29 so you will know what to tell us 1st. It sounds like a Mac OSX permisions issue. (Which Documents folder are you refering to?)
For Mac, go to Preferences (under LW at top left of screen) & look at Saving. It will show the path to where your dwnld folder is. You can change the location by pressing browse. Select a location that's within 'your' User area. Make an alias (CMD+L) to this folder & drop the alias into the Dock or somewhere else it will be easy to find.
For PC Windows, go to Tools (on menu bar), Options & Saving. Check your dwnld location & the folder's name. You can change it's location at this point to somewhere you can find it easily. Even put a link to it into Explorer for easy & quick access.
If this doesn't work, reply back to this thread. Good luck.