Make sure you read through the sticky at the top of the page, the first part "... check here first".
What are your details

OS(Win XP etc)
LW & Java version (help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW

Do this port test & see if it works http://www3.limewire.com:6346