I have downloaded the latest version of LM on my XP O/S desktop from 2003. A prior version 4.9 worked a few years ago. However, when launching the 4.9 application. I had the firewall issue. I downloaded the latest version of LM and the same problem. I have Norton 360 as my security software and it appears it added LM correctly. I tried adding the port number as well. I disabled N360 and still didn't work. I was connected by internet via LAN and even disabled and connected via wireless. All still resulted in firewall issue. I then downloaded LM on my laptop and it works fine. My laptop only has norton internet security. I am assuming my desktop and laptop internet sercurity programs are different. Lastly, windows security is not being used. Any suggestions??

Sounds like your router might be the issue. Either that or your ISP. (Keep in mind most wireless devices use NAT or similar which acts as a type of firewall. The question is whether it has UPnP support & if yes, is it running efficiently.)
If you can list your full set up including how it's networked will help us greatly in trying to help you find a solution. System details - help us to help you (click on blue link)
Do you have more than one LW running on your network, if yes, is it using the same connection port?