For your firewall (I presume you have one), configure it to allow LW full access: http://www.limewire.com/english/content/firewalls.shtml

I don't know a lot about proxies but can point you to some hints about setting them up:
1. A Fix for those whose ISP's block Limewire pages 1 & 2 which has a link to alternative instructions.
2. Another Insight proxy solution, 3. http proxies, 4. A Successful http Proxy Solution