Have you always seen the firewall icon, or has it just started showing up?

Is the XP firewall turned off? You don't have to run without a software firewall, just configure it to allow LW.
User Cant Connect - LimeWire

Lots of modems/routers have their own internal firewall. Try to find out the brand & model of your modem/router. If you're connecting wirelessly, the router could be in another room. If you can find your modem/router on the list here, try port forwarding...you'll find detailed instructions. Choose LW from the list of programs.
PortForward.com - Free Help Setting up Your Router or Firewall

If setting up a static IP address is part of the instructions, don't miss that step! LW's listening port, port in the 'manual port forward' box & port forwarded within the router setup should all be the same number.