I downloaded an audio file, and I'm wondering how to transfer that download into my iTunes music library.
Please help me.

If you're using LW 5 then there's an option to automatically add files to iTunes.
In LW tools > options > downloads. Tick 'add audio files I downloaded from LimeWire to iTunes > ok.
Once the download's finished in LW, iTunes will open & you'll see the file being added to iTunes.

Or you can find the file within LW's saved folder & then add to iTunes from there... check out this thread for more info (see post #8 for info about locating file on disk to open LW's saved folder outside of LW): How to transfer music to my iPod (& iTunes)

If you're using LW 4 then try dragging & dropping from LW's saved folder (drag & drop from LW's library doesn't work for some people). Otherwise, try adding files using iTunes' File menu. Check the link above for heaps more info.

how to I tansfer my music from LW5 to my itunes. it was doing it automatically yesterday but today has not. I see the share LW in my Itunes but I have not been able to copy the music into my itunes library. and I have tried all the options. can someone help me?

Providing that the songs are in a format that iTunes supports - in LW go tools > options > downloads. Untick the box to automatically add downloads to iTunes > ok. NOw go back to tools > options > downloads & tick the box to automatically add to iTunes. Sometimes the feature to add files automatically can fail & you need to disable that option & then re-enable it

Otherwise, there are lots of different ways to add files to iTunes - check this thread for more info: How to transfer music to my iPod (& iTunes)