The Explore button is in LW, click the Library tab at top of the LimeWire (LW) program, then click your Saved Files folder & press the Explore button. That will open the folder up outside of LW. Then open iTunes, drag & drop the music files from the folder you opened up, onto the iTunes Library icon at top of the playlists on iTunes. See
Drag & drop method of adding to iTunes (click on blue link) as an example.