Here are a few threads about aborted downloads (you can find more by using the forum search to look for that subject)
http://www.gnutellaforums.com/showth...rted+downloads
http://www.gnutellaforums.com/showth...wnload+aborted
http://www.gnutellaforums.com/showth...wnload+aborted

The wall icon means that LW's detecting a firewall that's preventing it from working at it's best. this could be a software firewall or an internal firewall within a modem or router. Make sure you're only using 1 software firewall & that it's configured properly
Firewall setup

Go through this thread, it has a lot of good info about how to solve problems with an internal firewall... check out the info about enabling UPnP & port forwarding. AFAIK port forwarding's more reliable than enabling UPnP.
Connection problems? Check here first!

If you're still stuck, post back with your details (*make sure to include the router model)

OS(Win XP etc)
LW & Java version (help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW