In LW tools > options > saving will show you the path of your saved folder - that's where you should find your downloads.

Mac users can have files automatically transfer to iTunes, Windows users can't (unless they use the LW Alpha version that's just come out - but the Alpha isn't a stable version & is likely to have bugs).
If you want to try the Alpha, there's an option to download here: Lime Wire » Download LimeWire

I'd recommend that you back up your downloads before trying the Alpha.