Don't use the XP firewall & Mcafee firewall together. Disable the XP firewall & configure McAfee to allow LW
Port Forwarding for the McAfee Security Center

Next: 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.

If you've recently updated Java, some people have had problems with Java 6 update 1. If that's what you're using, try the latest Java 6 update 2. Use the JRE offline installer & remove your old Java version(s) before you install this one.
Java SE Downloads

If that Java is no help, try this older version. Same deal with the JRE offline installer & removing other Java versions
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

If you see the firewall icon (brick wall in front of the blue globe), try port forwarding for your router. Is your router the WRT54GS (there's no w54gts)??? Find your router in the index here, then choose LW from the list of programs.
PortForward.com - Free Help Setting up Your Router or Firewall
Don't forget the step of setting up a static IP address if that's included in the instructions. LW's listening port, port in the 'manual port forward' box & port forwarded within the router all have to be the same number!