Hi!
Sometimes it takes a little while on my computer to get it going with a good strong connection but generally if I wait a few seconds it will come good.
Perhaps your ISP is throttling connections to gnutella sites or it could be just that the web is super crowded at the time you are wanting to use it.
It doesn't sound like you have set your Firewall wrongly. Do yourself a favor and read as many of the "Sticky" threads at the start of these forums as you can.
Sometimes they help a lot of people with their particular problems.
Good Luck!