So you've always had the same setup, but you've only just started seeing the firewall icon?

Have you changed anything within your setup since the firewall started showing?

Try port forwarding for your router, the instructions are here.
Port Forwarding for the Netgear CG814WGv2
Don't forget to set up a static IP address first, of port forwarding won't work. LW's listening port, port in the 'manual port forward' box & port forwarded within the router setup should all be the same number.

I don't use Windows Defender, but AFAIK it's just an antispyware app. Does it really include a firewall? If there's no Defender firewall, try turning on the XP firewall & configuring it to allow LW (you can turn it off later if you really want, but I wouldn't recommend running without a firewall).
User Cant Connect - LimeWire