What's your connection speed? You can do a speed test to find out
http://www.dslreports.com/speedtest?more=1

Do you see the firewall icon (brick wall)?
Download a file from here & see what speed you get
http://www.magnetmix.com/video.shtml

Try deleting LW's preferences folder when LW's closed (points 2 & 3 below)
Fixes for LimeWire

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, student accommodation etc)
Are you sharing a connection with other computers
Is this your first try with LW
Have you tried other p2p apps & if so, do you have the same problem