How many green connection bars do you see?
If it's only some downloads that aren't connecting (rather than your LW not connecting), you might be seeing fake files. There are lots around & they'll sit connecting forever but won't download. Search again, vary your search terms, try the All Types search. Stay away from files with loads of sources, try a file with 10 sources or less or even a file with a single modem source. For video files, use Bitzi to check the file before download
How to use Bitzi

For your firewall problem, read through the sticky below. It has lots of info.
Connection problems? Check here first!
Make sure you're only using 1 software firewall & that it's configured properly. Do you use an external modem or router (the one you've listed sounds like an internal one)? If you've got an external device, it's probably got it's own internal firewall & sometimes these can cause problems. For more info, read through the parts in the sticky about enabling UPnP & port forwarding.