Can you give us a desciption of your set up:
1. How much ram?
3. Hard Disk space available?
4. Connection type? (eg: dialup, broadband, cable, etc.)
5. Modem & router brand name & model numbers?
6. Where are you trying to connect from (home, school, work, etc.)?
7. What version of Limewire
8. Who is your isp provider?
9. Are you sharing the connection with other computers or p2p sharing programs? If yes, please give details of set up.
10. What version of Java are you running?

Launching LW has nothing to do with your firewall. Connecting does, but the program should be able to come up reguardless of what your firewall settings are.

The fact that your firewall isn't coming up might have something to do with SP2. Unfortunately, you might have to reinstall it. Contact Microsoft for that info.