Don't use 2 software firewalls together, they'll conflict with each other Turn off the Windows firewall & make sure McAfee's configured to allow LW.
Port Forwarding for the McAfee Security Center

Has this started happening since you updated to Java 1.6.0_01? A few people have had problems with that Java version. Try this version instead. Use the JRE offline installer & reomve your current Java version before you install this one.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

If that doesn't help, delete LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will kill all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.

There doesn't seem to be a firewall in your modem, do you use a router as well?