You shouldn't run more than one firewall at the same time, since they tend to interfere with each other. Choose one and disable the other one.
For LW to work properly, you'll have to configure your firewall and network connection to allow LW access.
Read here under "connection problems -click first" on how to configure your firewall properly:
http://www.gnutellaforums.com/showthread.php?t=51361
To your second question, the purchase price of LW ($ 18.88) includes 6 months update rights and tech support. After this time you still can use the pro version (make sure you have saved the installer exe at a save place where it can't get lost). And if you want to update after this time periode you'll have to pay a smaller fee to do so.
