Have you configured your ZoneAlarm firewall?
http://www.limewire.com/english/content/firewalls.shtml

Have a read through this thread, someone else who can't download a magnet link. Follow LOTR's advice from post #8 onwards
http://www.gnutellaforums.com/showthread.php?t=55138

It could be an ISP problem. Someone else might have a few more clues