Can you see the 5 green bars in the bottom left corner?

Do you have an anti-virus suite installed? McAfee/Norton have their own firewall/IDSs.

Within LimeWire, go to Tools > Options > Advanced > Firewall Config, and make a note of the listening port located in the box next to "Listen on Port". Head back to Windows firewall settings, click on 'add port' and add the relevant Limewire listening UDP port to the list