| Firstly....Linux doesn't use .exe's (or even recognise them)
Secondly....Limewire is lame
Thirdly....Ubuntu is lame
I've never used Ubuntu so I don't know what package manager it uses and I've never used Limewire so I don't know if there's a Linux version available. You need to download the Linux version, and if you're getting a compiled version, the right version for your Linux distro (Ubuntu), many sites will probably only offer it as source (.tar.gz).
Maybe it's time you used something other than Limewire? Try learning how to use irc to download stuff, there should be an irc client with your distro (though i'm not sure of the full extent of Ubuntu's lameness), and guides on the net for how to download using it.
I don't want to sound unfair with this but, if you didn't know that Linux can't use exe's, should you really be using it? If you're willing to learn more about it, fine. If you're using Linux because you've heard it's more reliable than Windows but you don't have the time to learn a lot about it, it's going to cause you more problems | 
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