You can be firewalled but still download (possibly not as well as you could if you weren't firewalled) but...chances are that very few or no people can download from you
Your download speed depends on your speed, host(s) speed, how many hosts you're downloading from, how many upload slots the host has open (so how many people are sharing that host's upload bandwidth) etc etc.

Do you see the firewall icon (brick wall in front of the blue globe)?
What's the model of your router?

You could also have a look at the thread below, it has some good tips to set up LW for best performance.
Configuring LW for best performance

At this stage LW can't automatically search for more sources.

Many thanks for the input on this.

I do see a brick wall in front of the globe.

I know it's a Zyxel, but don't which number to give, as there's loads on the bottom of the router ;-(

Joad.

If the router supports UPnP, make sure it's enabled & then choose the UPnP option within LW's tools > options > advanced > firewall config.

If that doesn't work, you could port forward. Go to the site below & see if your router's listed. There's a lot of ZyXEL routers there, might help you to work out which one you have. Once you've found your router, choose LW from the list of programs & follow the instructions from there. If setting up a static IP is part of the instructions, don't miss that step!!
Remember, LW's listening port & the port forwarded must be the same number.

http://www.portforward.com/english/r...outerindex.htm