The shared 'LimeWire Tunes' in iTunes is just a playlist - so your songs aren't actually added to the iTunes library, but you can still play them in iTunes.

In LW go tools > options > iTunes > tick 'Share My Music' > Apply > ok. Now the shared playlist should show up when you open iTunes & you'll be able to play your songs there.

If you want to add files to iTunes library, then check out the thread below for more info
Transferring music to iPod & iTunes

If you're having trouble playing a movie, try VLC player. It's a free download & has codecs installed to play most file types. It's very reliable. See the thread below for a download link & more info.
CODECs list for Movies/Audio/Alternate players / Video help forums/ video-mp3 fixers