Ah, you must probably be in the case of the oh so many other people who think that they can access anything they dlded via LW only through it's Library, right. Well, newsflash for you: you're wrong. Go to Tools, Options and Saving (or Limewire Preferences if you have Max OS X) and take a look at the location adress indicated there: that's where your finished dlds are being stored. Go to that area and proceed like you know how to make a CD out of them (or whatever else you want, for that matter).
Hope it helps (it will, I'm pretty sure)

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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-