download to i-Tunes to burn CDs?

I am so sick of PC users telling me how awesome it is to download music and burn CDs. I heard about limewire and downloaded it- but I can't figure out how you put the mp3s into my iTunes library so that I can burn CDs! I opened my Shared folder and found the songs I downloaded but when I tried to drag them onto my iTunes library it says:

"A reference to these files will be added to your music library, but the files themselves will not be moved or copied. If you remove the files, iTunes will be unable to play them.

To make sure iTunes can always find these songs, you can move them to your iTunes music folder which is in your Documents folder."

So I opened the documents folder, found the iTunes folder, and drug the mp3s in there. No luck- they still won't show up on my library. I even tried to create a file for downloaded mp3s in my iTunes documents folder and that didn't work either.

All of my PC using friends think that this is hilarious, so Mac users help me!

Thanks,

Frusturated in Iowa