Almost all firewall companies insist on only having one active firewall as having more than one active will cause clashes & give you less security. And for LW, it will cause problems. So decide between either XP or McAffee firewall. And whichever one you don't use, disable it. The other configure to allow LW. If you still get the firewall icon, then go here http://www.portforward.com/routers.htm & find your model under Westell -> LimeWire & telnet into your device. If it has UPnP then enable it. If not, then port forward. AFAIK westell generally need port forwarding.

Whilst you may be able to downld, you'd never be able to direct connect, & would have problems chatting.