Assuming that you do not try to download files with hundreds of hosts displayed in your search result (because for those files you will wait till eternity to download; they are most likely faked files), and your problem is a blocking firewall, then we must determine where this firewall recognition comes from (i.e. XP built-in firewall, any Security software with an included firewall, your router firewall, maybe the AOL service firewall, or any other spy/maleware removal program).

But since you said that the "portforwarding" made the brickwall in front of the small globe disappear, it means that you're not blocked, thus you've forwarded your port correctly.
There is no need for you to use UPnP, since you are portforwarding. Besides if you didn't portforward, you would have to enable UPnP in your router to make it work (assuming that you use one), though some router models are not working well with UPnP.

Although you say that you have the same problem, one of the users says he can download music files just fine, only video files are a problem, whereas another user here states that they can't download at all. As for the user who has problems to download large files, i would recommend him to check how much disk space he still has free.
The user "Liggy" said that he uses BT Broadband connection; it is possible they they have started to implement some sort of bandwidth shaping, due to the pressure of the British music industry as wellas due to their newly offered paid music downloads. Though this is pure speculation from me.

However, for you I'd recommend to re-install an older version of LW to see whether this works fine. Another P2P client would also be thinkable (i.e Frostwire, Phex, or Bearshare), just to see if you can get them running properly.

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"Never Argue With An Idiot. They Will Drag You Down To Their Level, Then Beat You With Experience"