Limewire downloads all files into the Limewire\Shared Folder. You need to open Easy Creator from the desktop and choose Make a music CD. Next choose Music CD project (assuming you want to play your music CD on all CD players). From there it should be fairly easy to figure out.

You have two windows (top and bottom). Top window you point it to the Limewired Shared folder and select the music you want to burn. Drag them into the bottom window to create your play list. Once all files are there, click the "record" or burn button. Sit back and watch the magic happen.

I personally use RealONE (the best jukebox in my opinion) and it has an interface to Easy CD Creator built right in. I burn my CDs using the jukebox its self right from the same software I use to organize and play my files 'cause it makes things much more simpler that using two programs.