By default Limewire will place downloaded files in C:\program files\Limewire\shared you can get them from there or you can go to Tools/Options/Saving and chenge the dowloaded files location to My Music... depending upon which windows version you are using it might be one of several locations the most simple being c:\My Music but other locations are possisble in different flavors of windows.

Another option is to point your CD burning software to C:\program files\Limewire\shared