First of all you need a CD or DVD burner which you should know of.

Second you need a CD or DVD burner program (Windows Media Player), I'm not enitrely sure you can use Windows XP default CD writing program.

Thirdly you need to transfer music from Limewire to the burner program either by searching for it or dragging the files to the burner program from Limewire's shared folder which in my case is C:/Program Files/Limewire/Shared.

And finally burn away.