First of all, your video is not kept 'in limewire.' It is probably in whatever folder you store your downloads in. The default folder is

C:\documents and settings\your name\shared

If you can see your video listed in Limewire's library, select it and click 'explore' in lower left corner. This will open the folder that contains the file. The location will be displayed in the 'Address' bar (I'm assuming you use Windows). This is the location that you need to browse to when following Wondering Why's advice (step #3).

Hope this helps

P.S. I hope you don't get too frustrated while trying to make your DVDs...I had to try many video converters, disc brands, etc. until I figured out what I liked. By the way, I would recommend Verbatim or Sony DVD+R discs. DVD+R discs are compatible with more DVD players than DVD-R discs.