Having the firewall icon showing isn't going to help your downloading!! When you see the firewall icon, it means that somewhere (a software firewall or an internal firewall within a modem or router) a firewall is stopping LW from working at it's best. If you're firewalled then, chances are that other people can't download files from you. It can also effect your connection & so your own downloads suffer. No firewall icon is a good thing

Try downloading a file from here & see what happens. These files should download pretty fast
http://www.magnetmix.com/video.shtml

As WW asked before... who is your ISP?
Are you trying to download lots of files at once? Have you tried downloading just one file & does the same thing happen? How good's your connection (ie how many green bars)?

(sorry WW I didn't know you were on!)