Can you really not download anything? What happens when you try... does the file move into the download pane & sit 'connecting' forever or does it not even move to the download pane? If the file doesn't move at all, check that it's not a license issue (click on link)
License

If the file sits connecting & then goes straight to 'need more sources' , it's probably a fake file. Search again, vary your search terms, try the All Types search. Stay away from files with huge numbers of sources, try a file with 10 sources or less. For video files, check before download with bitzi
How to use Bitzi

For a firewall within a router, check out the thread below. See the sections about enabling UPnP (if your router supports it) & port forwarding. There's a lot of helpful advice.
Connection problems? Check here first!
You said that you're seeing plenty of uploads. Is the firewall icon (brick wall in front of the blue globe) showing? Within LW go tools > options > bug reports > view example. Scroll down to 'recieved incoming this session'... is it true or false?