Ok here's the steps: Copy/paste your MP3's to a folder on your desktop.
name this folder "Music" or "My Music" so that Windows will know it's a music folder. Proceed to copy the music into this folder from Limewire. Then, open the folder in your c drive, that you just made, on the left side of the folder it will or should say 'play all' at the top left, providing your are using Windows XP and it will load all your music into WMP. Or, single click a selected song and it should load automatically.

For burning, not sure what software you have but burn this new folder, load it tinto your burning software and "Data Burn' the disk. After you are done burning you can either keep the folder you just made or delete it whichever you prefer. If this doesn't make any sense to you let me know?