I tried this:

WINDOWS XP INTERNET CONNECTION FIREWALL:
Go to start -> Control Panel
Open Network Connections.
Right Click on the connection you use to connect to the network
Choose Properties
Go to the Advanced Tab
If your firewalled is Enabled go to step 8
If you want to enable Windows XP firewall check the box (this will enable the "settings" button. If you are not interested in enabling your Windows XP firewall, hit cancel -- LimeWire will not be affected.
Under Windows Firewall Options, Go to the Advanced Tab.
Select internet connection used. (Local area network or the name of your connection)
Hit the Setting Button.
Hit the "Add..." button.
In the description field add "Gnutella"
Set the IP address to "127.0.0.1"
Check the TCP Radio button
Set the external and internal ports to 6346
Hit OK
Repeat steps 9 to 13, except this time check the UDP radio button in step 12.
Make sure the list of services has two items listed Gnutella, and make sure they are both checked.
Click Ok

But it didn´t help. What can I do? Can there be some internal firewall in my connection that I can´t disable? This si sooo annoying.