Do you get any green connection bars at all? Do this test & see of it works
http://www3.limewire.com:6346

Double check that your Windows firewall's configured properly (no need to turn it off)
Firewall setup

What's the model of your modem? Have a look through the manual & see whether it has an internal firewall, this could be what LW's detecting. If so, you should think about using it with UPnP enabled or port forwarding. There's a lot of info about these in the thread below
Connection problems? Check here first!

If you're still stuck, post back with all 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