I'm not sure but I think you can drag n drop files from LW to WMP. If not here are some other suggestions.
There are different ways to do it. One is to open windows media player and on the toolbar go to File>Add to Library>By Monitoring Folders. Find your shared folder and add it to the list. The default location for your shared folder is C:\Documents and Settings\"your account name"\Shared
Another way would be to set WMP as the default player for Limewire, you'll also need to disable the LW player. In LW go to Tools>Options>Player, untick the box and click apply. Then when you play songs from LW they will be added to WMP. See
Using windows media player
Hope this helps
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