If you cant find the firewall controls/settings, then perhaps you don't have a Windows built-in firewall.......
I wonder if WinXP has flavors that don't include a firewall...

Anyways, download this program called Http-Tunnel
Preferably HTTP-Tunnel v3.4.2852

Disclaimer: This process/program/procedure has been tested on environments where the ISP is apparently blocking P2P programs. Type of internet connection: PPPoE
I therefore do not know if this will work for other types of internet connections... (Or more complicated networks..)

Run your LimeWire and go to your proxy settings, change it to HTTP Proxy, Proxy: 127.0.0.1, Port: 1080
In Login Details, DO NOT check on Enable Authencitaction.

As for Firewall Config, Listening Port can be left to whatever is already there. And Use UPnP.

Then Apply, OK and Quit LimeWire completely. Completely means it should even be quit from the system tray.

Now run Http-Tunnel. In the Configuration settings, Under Proxy Server, Select Auto Detect and click the Test button.
When that's done, you are ready to start using Http-Tunnel.

Check the Log tab - and you should see somethgins like..
< Time... > Starting HTTP-Tunnel...
< Time... > Init: Successful
< Time... > blah blah blah
.
.
. and finally a line that says:
< Time... > SOCKS 4/5 server successfully started

When you see this line, you are ready to start LimeWire (or Shareazaa or Kazaa.. or whichever..)
Just run them all on port 1080.
You may Minimize http-tunnel. But DON'T quit it.

Now you may start LimeWire (as we aleady made the necessary setting changes earlier..). DO NOT QUIT the http-tunnel progam. Keep it minimised but it MUST be running.
Let LimeWire start and leave it as it is for about 5 to 10 mins.. This is the time that the http-tunnel program takes to configure itself (to allow LW to pass thru' it).

After some minutes, you'll see that LW works at full network strength.

Cheers!