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 3. You should then be able to browse to Limewire.exe
Connection: two buttons 1. Incoming 2. Outgoing (1 rule for each)

Action: 1. Allow 2. Deny 3. Warn 1

Protocol: TCP or UDP or both Both

Port(s): All Ports or Specified Port(s) If using UPnP then all ports. If using portforward, then the port that you typed in the box in Limewire

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

BTW I'm not entirely sure about this, but give it a shot to see how it works