I assume that you see a small brickwall in front of the globe in the left bottom corner?!!
You should not run 2 firewalls at the same time. Decide which one you want to run and then disable the other one.
To get rid of said brickwall you'll have to configure your firewall. How to do so, please, read in connection problems -click first:
http://www.gnutellaforums.com/showthread.php?t=51361

When you say you can't download, what do you actually mean? After searching you choose a file and it goes in the window below but does not start downloading, stays at "Awaiting Source" or it doens't even go into the window section below the seach results??

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