The Limewire Media Player's playlist function has a bug--when you go to save it, it asks you to highlight a file name and save rather than input a file name of your own. At least, that's what happened when I tried it. You probably saved a playlist under a filename for something else, like a txt file or application, that you would rather have kept.

In anycase, Limewire doesn't burn CDs. Use iTunes Add to Library feature to scan for new songs and add them to your library, or set iTunes as your default mp3 player (as I do)--then everytime you play a song you get from Limewire it is automagically added to your iTunes Library. You can then create playlists in iTunes that you can save and burn directly.