What happens when you try to install it?

If you still have problems then there is an alternative installer. You just unzip it & use it. See Here about other version.

But before you do this you should update your Java; get a link to Java installer from here: Fixes for Limewire Install Java from your computer not over the net. So save the installer to your comp before installing it. Then introduce LW.

You should configure your firewall for LW's full access: http://www.limewire.com/english/content/firewalls.shtml & disable XP's firewall (2 firewalls can interfere with each other!)