Are you seeing an error, saying that LW can't initialise & start because of a firewall or loopback connections? Or are you seeing the firewall icon & LW will start, but it won't connect??

Don't run Norton & Windows firewalls together. Running 2 software firewalls at once won't give you more protection & it may leave you with less - the firewalls will clash with each other & neither one will be working properly. Turn off XP's firewall. Now remove all LW rules from within the Norton firewall's config. Start from scratch & add rules for LW all over again. See the links below for help.
PortForward.com - Free Help Setting up Your Router or Firewall
http://www.gnutellaforums.com/226610-post6.html

Please give us your system details: System details - help us to help you -> Provide these details when you post!!!

Your router might have a firewall. Some routers work fine using UPnP, some need port forwarding set up for LW to work properly.

If LW will start, but won't connect - try the fixes here: If LW Will Not Connect