Is your connection stable ( green bars in the bottom left corner) or does it drop off? Rather than running without a firewall, you should set yours up to allow LW access, see below
Firewall setup

Your firewall might be coming from a modem/router. Have a read through this & see if your router supports UPnP or has an internal firewall. If your router does support UPnP, enable it & also tick it within LW's options > advanced > firewall config. If you have no joy, post back with your details
Connection problems? Check here first!

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

** Try disabling ultrapeer capabilities (options > speed). Also disable the iTunes options. Limit your simultaneous downloads to 2 or 3 only & see if that stops your internet connection from dropping off. Also reduce your upload & download bandwidth a little