Do you see the firewall icon (brick wall in front of the blue earth)? You'll find that you have trouble if you use more than 1 firewall, pick one & configure that one to allow LW.
Do this test & see what result you get
http://www3.limewire.com:6346

Modems & routers often have their own firewall... this might be what LW's detecting. Read through this, it has heaps of info about internal firewalls & fixes like enabling UPnP & port forwarding. Does your modem/router have a firewall?
Connection problems? Check here first!

If you're still stuck, post back with 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