Make sure the XP firewall is turned off and allow LW access through McAfee. Not advisable to have all firewalls turned off.
Most routers have a firewall in them that need configured. Try port forwarding your router. Instructions here:
Port Forwarding for the Dlink DI-604. Be sure to setup a static ip first or it won't work(Instructions in that link). When doing so make sure you use different ports from what your other computer is using. In LW go tools > options > advanced > firewall config. Change LW's listening port to 64049, or something in the range of 49152 - 65535. Click Apply to save the change.
Try deleting LW's preference folder with LW completely shut down. See point 2 & 3 in this thread:
Fixes for Limewire. This will reset all your option settings, so make a note of them first.