Wish I could help more, but I'm on a Mac.

If you've already tried the links Lord of the Rings has organised in the stickys, it might be worth checking with your ISP just to make sure they aren't blocking or filtering connections to the gnutella network.

Here's another check: see if you can download a file from http://www.magnetmix.com/audio2.shtml (they are free and legal for sharing). As long as LW is running, you don't even need to be connected to the network to download those files. Because they use the gnutella network to connect to your machine, they provide a bit more info about your connectability, and are good test case to use when contacting your Internet Service Provider's help desk.