When I installed LimeWire and it got to the "Which files do you want to share" tick box section I didn't tick any. Was that right or wrong? If it was wrong does that mean anyone can now access the files on my PC?

That's fine. I'd do the same also. You can share the files you downld into the Shared folder. You can also add more shared folders if you wish by either going to Tools>Options>Sharing & press the add button & directing it to where your folder is you wish to share & selecting & pressing Apply. Another way is to go to the LW Library window, menu File>Add Folder to Share.