There are many ways

One is to go to library in Limewire, mark one song and press explore. Then the folder that contains your downloads will open.

Right-click on the musicfile and choose open with AC3 audio. If you have never used Nero to play music before, then you should press choose program and scroll down to it

You can also open nero mediaplayer and add the folder to it, but its a drag when you have many files in a folder, because the playlist is very simple in Nero (no search option)

You could probably also make nero your default player and uncheck the box (use limewire player) in the Limewire options, and then Nero should play whatever you launch in the Library, but I have never tried it myself so I'm not sure about that