You have to tell your firewall to let Shareaza or Frostwire have access to the net, then the brick wall will vanish.
Also check that you only have 1 firewall. More than one may cause problems so if you're using a third party firewall turn off the Windows one.
You may find, as I do, that running P2P slows down other activity such as surfing the net so it's best not to have too much going on simultaneously.