You downloaded the worng version i guess..
Ubuntu has a very nice yet very powerfull tool called apt.
Use commands like, in console:
to update the database do:
to search this database for software:
apt-cache search Limewire
to install software do:
apt-get install Limewire
You also have Synaptic manager or something similar which is the same as APT in console but it has GUI if you are not that comfortable with console.
Oh and .exe can't be run on linux..
You might want to read: http://www.ubuntuguide.org