Any idea why when I start to download Lime Wire from the site it defaults to opening the proigram up with quicktime? Should the file be some kind of self extracting file?

The files you download are mp3 files. You probably have specified quicktime as the default program to play those files. There is not "self extracting", since mp3 files are already compressed, they do not have to be expanded. If you do not want to play it with quicktime, you must use some other program capable of playing mp3's.