You sound like a windows user. The Limewire playlist you see in iTunes is simply a playlist. The songs don't actually exist in your iTunes Music Library. So you must 1st add them to your iTunes Music Library before you can add them to self made playlists to burn. To see the various techniques about how to do this, see
Adding songs to iTunes & iPod (click on link) This shows some sample techniques specific to using Limewire but also an apple tutorial link for using iTunes.