you get that error message because LW does not know where to move the files you download to.
too fix it go to tools, options, savings, and than click browse and select a folder where you want LW to save the files. the default is Shared folder the path to it is usually c:/program files/limewire/**shared folder** this is for windows users.
also make sure that the folder which you select to save files to does exist and is working right