Don't have no active firewall! That's silly & risky! Instead you should configure it. Did you configure your firewall so it allows LW full access (advisable not to have 2 active firewalls b/c they can interfere with each other); Firewall configuration instructions (click on link)

If you have 2 firewalls then disable XP firewall (go to the control panel, double click on Windoze Firewall, check the disable box.)

The problem is generally the sources. They can be unreliable. But then on the odd occasion, LW itself seems to stall momentarily. That's why it can be an idea to try out the tricks such as cancelling the downld & reselecting from the search results, etc.

See all the off-shoot links to catch up on hints & skills for using LW here: To continue files downlding (click on link)