Rather than turning off your Win firewall, configure it to allow LW.
User Cant Connect - LimeWire

Have you been able to connect when using Java 1.6.0_01? Quite a few people have had connection probs with this Java version. Try this one instead, use the JRE offline installer & remove your current Java version before you install this one.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

Or, if you don't like the idea of going backwards with Java updates, try the latest Java 6 update 2 (it's working fine with my LW).
Java SE Downloads

Another thing to try is: Delete LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will kill all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.

You could also try port forwarding for your Linksys to get rid of the firewall icon. The instructions are here.
Port Forwarding for the Linksys WRT54G
Don't forget the step of setting up a static IP address. LW's listening port, port in the 'manual port forward' box & port forwarded within the router all have to be the same number