I must not ben doing it right. This is what I am supposed to do in Adding/Editing Personal Firewall Exception:

Description: I just type in LimeWire

Target: there are three buttons: 1. All applications 2. Operating system components 3. Specified application

Connection: two buttons 1. Incoming 2. Outgoing

Action: 1. Allow 2. Deny 3. Warn

Protocol: TCP or UDP or both

Port(s): All Ports or Specified Port(s)

IP Setting Type: 1. All IP addresses 2. IP address 3. IP address range 4. Subnet mask 5. Broadcast 6. Multicast