Well i use to use ZoneAlarm, but then stopped as it was making my Firefox crash every second. And the only way to fix it was to restart my computer.
But, anyway... go to ZoneAlarm, have a look around for the option "Program control", in there, there should be a huge list of little green ticks and little red crosses. You guessed it, the little green ticks are for "Permission to", and the little red cross' are "Not permission to".

Scroll down to LimeWire and double click it's line, so there are four little green ticks.
Then try it again.

Let me know what happens.