We present a multiwavelength (ultraviolet, infrared, optical and CO) study of a set of luminous HII regions in M33: NGC 604, NGC 595, NGC 592, NGC 588 and IC131. We study the emission distribution in the interiors of the HII regions to investigate the relation between the dust emission at 8 micron and 24 micron and the location of the massive stars and gas. We find that the 24 micron emission is closely related to the location of the ionized gas, while the 8 micron emission is more related to the boundaries of the molecular clouds consistently with its expected association with photodissociation regions (PDRs). Ultraviolet emission is generally surrounded by the H-alpha emission. For NGC 604 and NGC 595, where CO data are available, we see a radial gradient of the emission distribution at the wavelengths studied here: from the center to the boundary of the HII regions we observe ultraviolet, H-alpha, 24 micron, 8 micron and CO emission distributions. We quantify the star formation for our HII regions using the integrated fluxes at the set of available wavelengths, assuming an instantaneous burst of star formation. We show that a linear combination of 24 micron and H-alpha emission better describes the star formation for these objects than the dust luminosities by themselves. For NGC 604, we obtain and compare extinction maps derived from the Balmer decrement and from the 24 micron and H-alpha emission line ratio. Although the maps show locally different values in extinction, we find similar integrated extinctions derived from the two methods. We also investigate here the possible existence of embedded star formation within NGC 604.