I can't tell you any more than is listed on the firewall setup page b/c I don't use win XP firewall or any firewall. I use a mac.

if you see a way to disable your firewall anywhere, try that temporarily and see if it helps, then be sure to turn it back on ( gotta have it, just get it setup right, tho)
definetly delete that folder .limewire, tho- maybe even uninstall java & lw, then reinstall both and see what happens