Limewire is marked as an exception in Windows firewall but i still have the firewall symbol on the bottom of limewire - why is this? Should I worry about it?

The firewall might be within your modem/router. You can sometimes download pretty normally when firewalled but most other users won't be able to upload from you...it's not really in the spirit of file sharing Within your LW tools > options > bug reports > view example. Scroll down to 'recieved incoming this session', if it's false then a firewall's stopping uploads.

Read through this, it has loads of info about internal firewalls within modems/routers & ways to overcome the firewall problem (enabling UPnP & manual port forwarding)
Connection problems? Check here first!
Just double check that your firewall is set up properly, you'll find a link for firewall setup within that thread.