when you play the file in limewire window you are using the built-in player of limewire, thus, once you're download has completed, you can navigate to the folder where your downloads are saved (eg. c:\documents & settings\Administrator\Desktop\mp3_folder) from there they will run as normal, ie. in media player and not in limewire.

alternatively, use the search in xp, in the start menu. type .mp3 in the text box to find an mp3 file

i believe limewires default folder is C:\Documents and Settings\your_windows_logon_name_here\Shared ?