In iTunes, open a new "source" window (far left column, apple+N).
Drag the downloaded mp3's to this window until you have enough to fill an mp3 CD. Test them first to make sure they run in iTunes and that the tags are what you want them to be. Burn a CD (Button at upper right).

Remember, iTunes does not burn data CD's, which you would want if you are using your computer, and not an mp3 player, as your music source. For that, use Toast (which can also burn mp3 or regular aiff audio CD's) or CD Burner.

If you are talking about Limewire putting QT icons on mp3's instead of iTunes, get iTunes Associator from versiontracker.com (freeware). Drag and drop.

iTunes can play a QT mp3 without any problems, but the tags will be severely limited in length.