I guess you're using LW 4? It's a bit hard to help when we don't know any details of your setup.

Sky can throttle p2p bandwidth (so that you see slow download speeds, for eg during peak hours or if you're a heavy p2p user) but AFAIK they don't actually block p2p.

Depending which version of LW you're using, there are fixes to try in the 2 threads below (click on links).
If LW 4 Will Not Connect

If LW 5 Will Not Connect

Rather than turning off software firewalls, it's better (for your own protection) to run only one software firewall & configure that to allow LW. 2 software firewalls running at once can conflict with each other, so that neither one works properly
The help threads above have info about configuring firewalls.

If you're still stuck then please post back with your System details - help us to help you -> Provide these details when you post!!!