Oh my gosh...after all the hours I've put in trying to figure this out, it was one or two simple...extremely simple...do's. Not sure if this will help you, but it may help someone out there. I went into LW/tools/options/advanced/proxy and moved the dot from HTTP to No Proxy, and then I went into Firewall Config and changed the "Listening on Port" to 64049, reconnected LW, and now I'm "turbo charged".
Woohoo, hope this helps someone.

Shell

I try this also and it worked, I couldnt believe my eyes...thank u thank u thank u thank u thank u thank u thank u thank u......its been almost two weeks !! thank u thank u thank thank uuuuuuuuuuuuu

I've tried both of these options and neitehr one has worked...must be that wonderful Windows Vista I have for an O/S....

I have Vista and it worked!!

Mine was clicked on "no proxy"....I changed it (to Proxy) then close LW then re-opened and re-clicked "no proxy " with the number stated above and it worked. Just keep messing with it and exit LW...when you re launch LW....bam!, firewall icon is gone.