Check this Connection problems? Check here first! as it has important info for OSX firewall & Linksys setting up.

However, I've a suspicion your problem is your ISP. Can you tell us who is your ISP (Internet Service Provider)?

Try an experiment, downld a magnet link file from here & tell us what speeds you get: http://www.magnetmix.com/video.shtml

And do a speed test whilst LW is closed here http://www.t1shopper.com/tools/speedtest/ (choose nearest location)