Ok.
So you have downloaded LW Pro and it created a playlist in iTunes entitled "Limewire", right?
Now, is LW telling you the firewall thing or iTunes?
If it is iTunes, try disconnecting from the net first before doing anything with it (although I've never encountered such a problem before)

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-