I wouldn't even care about the firewall thingy. First, configure LW to use a port higher than 10000 like 10001 in Options->Advanced->Firewall. I'd also upgrade to latest LW beta (4.12.1) because it resolves issues about no connection.
http://www.limewire.com/english/content/beta.shtml
Don't forget folks, usually when there is no connection, it is because either a program stops ALL access to internet to a program (ie Antivirus and some firewalls), LW bug or P2P filtering by ISP. NOT because of a normally functionning firewall, especially a hardware one.
So on no connection cases, look if a program SPECIFICALLY blocks internet access to a program (it is normally an antivirus or Windows integrated firewall). Acting like a normal firewall never stopped LW from connecting, albeit performance can be affected.
If LW works, then begin fiddling with router firewall to gain some performance, not before.
Ciao