What's your connection like (how many green bars)? Do you see the firewall icon (brick wall in front of the blue globe)?

Do this test & see what result you get
http://www3.limewire.com:6346

Make sure that you're only using 1 software firewall & that it's configured properly
Firewall setup

What are 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