OK so you're talking about setting up the XP firewall right (at a guess)? Try these user suggestions:
1. XP Firewall settings OR 2. Setting Up WinXP Pro FireWall


If you still have problems after this then please supply the following information:

1. OS version? (I presume that's XP does it have SP1 or SP2)?
2. What firewalls you have?
3. ram?
4. HDD space available?
5. Connection type? (eg: dial up, broadband, cable, etc.)
6. Modem & router brand name & model numbers?
7. Where are you trying to connect from (home, school, work, etc.)?
8. Limewire (LW) version & Java version? (Go to LW's menu Help>About LW & it will tell you.)