(1) Your router may have a built-in firewall.

(2) Your ISP may be firewalling you upstream.

(3) Before version 4.9.27 or so, there was a bug in UltraPeers that caused leaves to often incorrectly believe that they were firewalled. Make sure at least one of your ultrapeers is LW 4.9.30 or later. (Between 4.9.26 and 4.9.30, a variety of ultrapeer bugs were fixed.) Do this by making your "Connections" tab visible. (Go to View => Show/Hide => Connections). Look at the Vendor/Version column of the Connections tab. When you right-click on one of your ultrapeers and select "Remove", LW will drop its connection to that ultrapeer and look for an ultrapeer to relpace it. Only remove one ultrapeer at a time, and wait until the ultrapeer is replaced before removing any other ultrapeers. Keep doing this until you have at least one ultrapeer that is LimeWire 4.9.30 or later.