You realise XP has its own firewall don't you. If you're using another firewall then you should disable XP's firewall.

1. Connection type? (eg: dialup, broadband, cable, etc.)
2. Modem & router brand name & model numbers?
3. Where are you trying to connect from (home, school, work, etc.)?
4. What version of Limewire (LW) & Java do you have? (Go to LW's menu Help>About LW...) Will show both LW & Java version.
5. Who is your isp provider?

Select a magnet link file from here & tell us how LW behaves: http://www.magnetmix.com/video.shtml