Doing some research this morning, I stumbled across a fantastic resource created by a librarian at the University of St. Thomas. The Luxembourg Genealogy Resources page is designed to interface with the library's collection. It links to catalog entries for Luxembourg and Luxembourg-American genealogy books and microfilm on the University's website. For added help, the site also contains links to other Luxembourg genealogy websites.
While one cannot access the books directly from the library, record what titles seem useful to you. Take the list to your local library. Hopefully librarians can help you order a few.