Read through this
Connection problems? Check here first!

Your software firewall (ZoneAlarm, SyGate etc etc) needs to be configured for LW, there are instructions in that thread. Many modems/routers have an internal firewall that can cause problems.

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 test & see what result you get
http://www3.limewire.com:6346