I've got the latest version (4.12.6) now but before I had some other version. The older version was working fine and then one day I tried to download a song and a dialog box came up saying this:

"LimeWire is unable to find a license for this file. Download anyway? Please note: Limewire cannot monitor or control the content of the Gnutella network. Please respect your local copyright laws."

After downloading the new version it still said the same thing.

Why does this come up?

What do I click on the dialog box (yes, no, cancel?)

If you want to stop the box popping up, check out this link
License (click)

I don't want to click yes, but why can't LW find a license for any of the files. There is no point in LW existence because you can't download anything. For EVERY file the dialog box appears. What's the point in having a program like this on your computer when you can't download anything. It's just using up memory, might as well uninstall it.

You said the older version was working fine, then if you want LW to behave like that, go to your LW's menu bar, Tools>Options>Searching & uncheck option to show license. Nothing has changed really when you do that. If you want to uninstall it then be my guest. Your loss.