It always used to be that files wouldn't transfer automatically to the iTunes library for Windows users. Mac yes, Windows no. Windows users have always had to use other methods to add files to the iTunes library. Sounds like Vista is a bit different, since you said that you did get a song to automatically add to iTunes library

I don't use Vista, maybe another Vista user can shed some more light on that for you.

The "LimeWire Tunes" is just a playlist. It'll disappear once you've shut down LW & is no good for burning or adding to iPod.

If you disable iTunes sharing within LW's options, that playlist won't show up anymore. Maybe you could do that & then see whether files will automatically add to iTunes? I've got no idea if it will help, that was just a wild guess

I don't know whether you've seen this sticky, but it has a lot of info about adding to iTunes...might be useful.
Transferring music to iPod & iTunes