If the files are showing up in your "Library" page they are already on your hard drive. No need to download them again.
All you need to do is find where the files are located (as a default Limewire creates "Shared" or "My Shared" folder and that's where all the downloaded stuff usually goes). and simply copy/paste them to any other location on your hard drive.

-ED-

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A gentleman is one who never hurts anyone's feelings unintentionally.
- - - Oscar Wilde