If you're using Mcafee, make sure that the XP firewall's turned off.
It doesn't look like your modem has a firewall...do you have a router as well?
Try replacing your gnutella.net file, deleting LW's preferences folder & updating Java (you can also try an older Java version if you like). The thread below has more info.
If LW Will Not Connect
If that doesn't help, you can also try changing ports. In LW tools > options > advanced > firewall config. Change LW's listening port to something in the range of 49152 - 65535 (eg 65000) > apply > ok.