If you are thinking of adding more than one song to a playlist (like in Winamp) or Music Match, this cannot be done through the LimeWire library. If you want to open multiple songs with a player similar to Winamp, you can browse for the files you want, CTRL-click them, and hit the open button. The default location for the LimeWire shared directory (the files you see in your library) is C:\Program Files\LimeWire\Shared
The LimeWire program folder may have a slightly different name if you have installed more than one version or custom named it during installation.

Good luck!