You will allow LW & Java access thru your firewalls: 
Instructions here (click on link)  So you have 2 firewalls! XP Firewall & Zone Alarm.  
Did you install SP2? Not recommended unless yu run a business or major network.  
Go here & tell us what happens: 
http://www3.limewire.com:6346/ It should say test page was successful. If not then we need to find out why.