If you're using iTunes for playback (default player) there should be a "limewire folder" in iTunes and your downloads should appear in your library. All you need to do is select the ones you want to burn and hit the burn cd icon -top right hand corner of iTunes. OR you can create a new playlist and drag your downloads to that playlist and burn from there. Make sure your preferences for iTunes is set to "audio"...that way you'll be able to play your cds on any kind of player.
I hope that was helpful.