LW doesn't have a proxy, besides I do not believe that you need a proxy at all. Your modem, is it outside the computer or inside (i.c the phonejack goes directly into the back of your pc)?
To allow Lw access the network you have to include the limewire.exe into the exception of PCillin as well as the port LW uses to listen to. Go LW>Tools>Options>Advanced>Firewall Configuration and look on the right side which listening port it has (it's a number). You can trty to change this number to 6346, which is the usual listening port of LW.(click apply before OK)
Then go back to the link about how to configurate your firewall and add this port as TCP and UDP (you'll have to to this two times, once for each) to the list. LW should be closed at this time. Then reboot and open LW. Aftyerwards you need to give it some time to settle down. Can be anything from 2-60 minutes.

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"Never Argue With An Idiot. They Will Drag You Down To Their Level, Then Beat You With Experience"