LW 5 has an option to automatically add files to iTunes (now works for Windows users - LW 4 only had that option for Mac users)

In LW go Tools > Options > Downloads. Tick the box to automatically add files to iTunes > click ok.

Just FYI, the Explore button's not in LW 5 but you can do the same thing by using 'Locate File on Disk'. This thread has more info about that: Using LimeWire 5 to find your files on your computer using 'Locate File on Disk' tool

Edit: Oops - too slow