Basque, is your LW connected at all (green connection bars)?? You say that LW won't download anything...can you search & what happens when you try to download??

Win XP has a firewall. Click on the link below for more info, you'll find some instructions for the XP firewall.
User Cant Connect - LimeWire

If you're having connection problems, try using this older version of Java. 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

Also try deleting 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.