You can double click the song, and it should go into iTunes. If this doesn't work, you can do it manually.

If you are in OS 9, open the Applications/Limewire/shared folder. Select the songs you want to add to your iTunes library, then drag them to the Documents/iTunes/iTunes Music folder.

Open iTunes and drag the iTunes Music folder in Documents into the library on the left pane of the iTunes window.

For OS X, the steps are the same, except that the iTunes music folder is located in Users/Home/Documents/iTunes.