GF2,

Their LW is connected properly, they just want to get rid of the firewall icon. It sounds as though they're using port 56000 at any rate

shad,

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.

After you've deleted that folder, go tools > options > advanced > firewall config & make sure that LW's listening port is still the same number as before. If it's different, change it back so that it's the same number as the port forwarded within your router

To check whether your router suppports UPnP, have a look on the router & see if there's a switch or button labelled UPnP. Have a look in the router's manual or use google to search. I couldn't find anything to say that your router supports UPnP.