I have the same problem. Limewire says I have a Firewall on too. Before I had a Firewall, it started saying this, now I got one, and unblocked Limewire and it still says I have one. I also deleted my .limewire directory. Anyway, here's how it is:

Can you give us a total desciption of your set up:
1. OS version? (eg: Windows 98) Windows XP Proffesional
2. What firewalls you have? Sygate but I have Limewire unblocked.
3. How much ram? 256 MB
4. Hard Disk space available? 40 Gigs
5. Connection type? (eg: dialup, broadband, cable, etc.) Broadband
6. Modem & router brand name & model numbers? Modem: SpeedStream 5200. Router: Linksys BEFSR41v3
7. What version of Limewire (LW) & Java do you have? (Go to LW's menu Help>About LW...) Will show both LW & Java version. Limewire 4.9.37 Java 1.5.0_06
8. Who is your isp provider (Internet Service Provider)? Bell Sympatico
9. Are you sharing the connection with other computers or p2p sharing programs? If yes, please give details of set up. I have two computers. I also have Azureus Bittorrent Client configured.
10. Do this simple test for us. Using your browser go here: http://www3.limewire.com:6346/ The page should say 'Your test worked!'. What happens when you go there?
It says 'Your test worked!'.