I have a feeling you can drag the songs from the limewire library to WMP, but what ever you do do not delete the files from the Limewire Library as you will loose them permanently off your computer.
The song files are physically in your download/save folder (see Limewire>Tools>options>saving>save folder) and the files can certainly be found there by WMP.
I hope this helps. I don't use WMP ..and my eyes are falling shut. I'm playing with a new computer and its destroying my normal functions lol