XP, huh? Click Tools->options->Bug report and click for an example. Scroll down to the part where it says Recieved Incoming this session. This must be showing true if your firewall allows LW to dld and stuff.
If it shows false and you can't find a firewall somewhere then maybe it's WP's own built-in firewall that's at work.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-