It may not be your firewall. If your getting results from your searches, then you have to be connected to the network. Could be the files you tried were fakes.
Try d/loading a file from here:
http://www.magnetmix.com/audio2.shtml. Try the first one. It'll d/load in LW. Give it a couple minutes to start. If it doesn't, right click it and have it find more sources. It should start d/loading with good speed.
If it works, then those other files probably were fake and you may just need some pointers on finding good files.
See:
How to find music Fake files showing up in search results (Connecting for ages with many hosts & then Need More Sources when trying to download a file.).