Check in Limewire's options or preferences > saving >saved folder. This shows where your downloaded files are stored.
If you go to iTunes> File > Add to library and select this folder, the tunes will be in the iTunes library, and you should be able to burn them. For future downloads you could if you want alter the download folder to your iTunes folder.
The Icon for XXXX Limewire tunes in iTunes is a curious thing whose existence has not been fully explained
but it seems to only show the tunes you are sharing and is not a proper iTunes play list
I hope this helps