Hmm.. there's more than one possible reason for that.

Have you checked the FAQ in this forum (it's the topmst thread)?

http://www.limewire.com/index.jsp/faqs#Firewall

From personal experience, the most common cause is if you have a router or a firewall that blocks the port that gnutella uses. You would have to set the firewall/router to forward that port to your local IP...