Well first off the LW player is really no good, so by using an alternitive player is really the way to go. Here is a guide on WMP.
Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs

See more choices on alternitive players and Codecs you may need for WMP.
CODECs list for Movies/Alternate players / Video help forums/ video-mp3 fixers

Yes it is OK and even recommended that you use Spybot S&D.

On the Firewall issue, Please provide the following details.
system details

This may also provide you with more info.
LimeWire FAQ and User Guide
Hope this helps.

__________________
I Don't Suffer From Insanity, I Enjoy Every Minute of it